A summary on pricing American call options under the assumption of a lognormal framework in the Korn-Rogers model
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Publication:424681
zbMath1247.91188MaRDI QIDQ424681
Publication date: 4 June 2012
Published in: Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)
Full work available at URL: http://math.usm.my/bulletin/html/vol35_2A_13.html
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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