A new method of valuing American options based on Brownian models
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Publication:5079101
DOI10.1080/03610926.2020.1725053OpenAlexW3004981561MaRDI QIDQ5079101
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Publication date: 25 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2020.1725053
Cites Work
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- SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL
- On Backward Stochastic Differential Equations Approach to Valuation of American Options
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Valuing American Options by Simulation: A Simple Least-Squares Approach
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