A Generalization of the Recursive Integration Method for the Analytic Valuation of American Options

Author:

Chang Lung-Fu1,Guo Jia-Hau2,Hung Mao-Wei3

Affiliation:

1. Lung-fu Chang is at the Department of Finance, National Taipei University of Business, Taipei, Taiwan

2. Jia-Hau Guo is at the Department of Information Management and Finance, College of Management, National Chiao Tung University, Hsinchu, Taiwan

3. Mao-Wei Hung is at the College of Management, National Taiwan University, Taipei, Taiwan

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference33 articles.

1. Bakshi , G. Cao , C. 2003

2. Empirical performance of alternative option pricing models;Bakshi;Journal of Finance,1997

3. Efficient analytic approximation of American option values;Barone-Adesi;Journal of Finance,1987

4. Jumps and stochastic volatility: Exchange rate processes implicit in PHLX deutsche mark options;Bates;Review of Financial Studies,1996

5. Model specification and risk premiums: The evidence from the futures options;Broadie;Journal of Finance,2007

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