A linearly implicit predictor-corrector scheme for pricing American options using a penalty method approach
A. Q. M. Khaliq, D. A. Voss, S. H. K. Kazmi
| Year of publication: |
2006
|
|---|---|
| Authors: | Khaliq, A. Q. M. ; Voss, D. A. ; Kazmi, S. H. K. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 30.2006, 2, p. 489-502
|
| Subject: | Black-Scholes-Modell | Black-Scholes model | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003291300