Analytic approximations for the valuation of American options : extensions and application to real American exotic options
Determining the early exercise premiums for American options has provided a challenging task for option pricing problems. In the absence of an explicit expression for the optimal exercise bOWldary, solutions have tended to be computationally expensive numerical methods. In response, a variety of ana...
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University of Manchester
2001
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629934 |