A dynamic programming approach for pricing options embedded in bonds
Year of publication: |
2007
|
---|---|
Authors: | Ben-Ameur, Hatem ; Breton, Michèle ; Karoui, Lotfi ; L'Ecuyer, Pierre |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 31.2007, 7, p. 2212-2233
|
Subject: | Optionspreistheorie | Option pricing theory | Dynamische Optimierung | Dynamic programming |
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