A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Finance
Link
http://link.springer.com/content/pdf/10.1007/s11147-009-9047-0.pdf
Reference74 articles.
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3. Barone-Adesi G. (2005) The saga of the American put. Journal of Banking & Finance 29: 2909–2918
4. Barone-Adesi G., Whaley R. (1987) Efficient analytical approximation of American option values. Journal of Finance 42: 301–320
5. Bergman Y., Grundy B., Wiener Z. (1996) General properties of option prices. Journal of Finance 51: 1573–1610
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