American option pricing under GARCH by a Markov chain approximation
Year of publication: |
2001
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Authors: | Duan, Jin-Chuan ; Simonato, Jean-Guy |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 7174093. - Vol. 25.2001, 11, p. 1689-1718
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