A generalization of the Barone-Adesi and Whaley approach for the analytic approximation of American options
Year of publication: |
2009
|
---|---|
Authors: | Guo, Jia-Hau ; Hung, Mao-Wei ; So, Leh-Chyan |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139x. - Vol. 29.2009, 5, p. 478
|
Saved in:
Saved in favorites
Similar items by person
-
Guo, Jia-hau, (2009)
-
A Note on the Discontinuity Problem in Heston's Stochastic Volatility Model
Guo, Jia-Hau, (2007)
-
A generalization of the recursive integration method for the analytic valuation of American options
Chang, Lung-Fu, (2016)
- More ...