American Options with Discontinuous Two-Level Caps
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
https://epubs.siam.org/doi/pdf/10.1137/17M1110791
Reference7 articles.
1. Pricing and hedging capped options
2. American Capped Call Options on Dividend-Paying Assets
3. THE PRICING AND HEDGING OF LIMITED EXERCISE CAPS AND SPREADS
4. On the pricing of American options
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