Generalized Analytical Upper Bounds for American Option Prices
碩士 === 國立中央大學 === 財務金融研究所 === 92 === American options require lattice method to provide accurate price estimates. But it will be very time-consuming and difficult when more than one state variable is involved. In this paper, we develop analytical (closed form) upper bounds for American call options...
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| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/61127756626668258593 |