Model uncertainty and the pricing of American options
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-016-0314-2.pdf
Reference27 articles.
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2. Andersen, L., Broadie, M.: Primal–dual simulation algorithm for pricing multi-dimensional American options. Manag. Sci. 50, 1222–1234 (2004)
3. Beiglböck, M., Henry-Labordère, P., Penkner, F.: Model-independent bounds for option prices—a mass-transport approach. Finance Stoch. 17, 477–501 (2013)
4. Bouchard, P., Nutz, M.: Arbitrage and duality in nondominated discrete-time models. Ann. Appl. Probab. 25, 823–859 (2015)
5. Breeden, D., Litzenberger, R.: Prices of state-contingent claims implicit in option prices. J. Bus. 51, 621–651 (1978)
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