Confined exponential approximations for the valuation of American options
Year of publication: |
2003
|
---|---|
Authors: | Lee, Jongwoo ; Paxson, Dean |
Published in: |
The European Journal of Finance. - Taylor & Francis Journals, ISSN 1351-847X. - Vol. 9.2003, 5, p. 449-474
|
Publisher: |
Taylor & Francis Journals |
Subject: | confined exponential distribution | analytical approximations | tight upper bounds | two-factor American option |
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