American options: the EPV pricing model
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Publication:665543
DOI10.1007/s10436-004-0010-7zbMath1233.91258OpenAlexW3123704155MaRDI QIDQ665543
Sergei Levendorskii, Svetlana Boyarchenko
Publication date: 5 March 2012
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-004-0010-7
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
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