PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD
Author:
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2009.00389.x/fullpdf
Reference33 articles.
1. Efficient Analytic Approximation of American Option Values;Barone-Adesi;J. Finance,1987
2. The Pricing of Options and Corporate Liabilities;Black;J. Polit. Econ.,1973
3. The Valuation of American Options;Brennan;J. Finance,1977
4. American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods;Broadie;Rev. Finan. Stud.,1996
5. A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach;Bunch;J. Finance,1992
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