A mathematical programming with equilibrium constraints approach to the implied volatility surface of American options
Year of publication: |
2000
|
---|---|
Authors: | Huang, Jacqueline ; Pang, Jong-shi |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 4.2000, 1, p. 21-56
|
Subject: | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Theorie | Theory |
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