Bounds for path-dependent options
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Finance
Link
http://link.springer.com/content/pdf/10.1007/s10436-015-0265-1.pdf
Reference39 articles.
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4. Broadie, M., Detemple, J.: American option valuation: new bounds, approximations, and a comparison of existing methods. Rev. Finan. Stud. 9, 1211–1250 (1996)
5. Broadie, M., Detemple, J.B.: Option pricing: valuation models and applications. Manag. Sci. 50, 1145–1177 (2004)
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1. How fundamental is the one-period trinomial model to European option pricing bounds. A new methodological approach;Finance Research Letters;2017-05
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