A Newton method for American option pricing
Year of publication: |
2002
|
---|---|
Authors: | Coleman, Thomas F. ; Li, Yuying ; Verma, Arun |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 5.2002, 3, p. 51-78
|
Subject: | Optionspreistheorie | Option pricing theory | Statistische Methode | Statistical method | Theorie | Theory |
-
S&P type indices and call option values under a CEV diffusion process
Samanta, Prodyot, (1995)
-
Option pricing by transform methods : extensions, unification and error control
Lee, Roger W., (2004)
-
Testing the stability of implied probability density functions
Bliss, Robert R., (2002)
- More ...
-
Reconstructing the unknown local volatility function
Coleman, Thomas F., (1999)
-
Hedging guarantees in variable annuities under both equity and interest rate risks
Coleman, Thomas F., (2006)
-
Discrete hedging of American-type options using local risk minimization
Coleman, Thomas F., (2007)
- More ...