A closed-form solution to American options under general diffusion processes
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697680903193405
Reference40 articles.
1. CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE- TO CONTINUOUS-TIME FINANCIAL MODELS
2. Asymptotics and calibration of local volatility models
3. A hyperbolic diffusion model for stock prices
4. The Valuation of American Put Options
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