Properties of American option prices

Author:

Ekström Erik

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference16 articles.

1. On the convexity and comparative static properties of r-harmonic and r-excessive mapping for a class of diffusions;Alvarez;Ann. Appl. Probab,2003

2. On the theory of option pricing;Bensoussan;Acta Appl. Math,1984

3. General properties of option prices;Bergman;J. Finance,1996

4. E. Ekström, Properties of American and Russian option prices, U.U.D.M Report 2002:30, 2002.

5. N. El Karoui, Les Aspects Probabilistes du contrôle stochastique, Lecture Notes in Mathematics, Vol. 876. Springer, Berlin, 1981, pp. 73–238.

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