Efficient estimation of lower and upper bounds for pricing higher-dimensional American arithmetic average options by approximating their payoff functions
Year of publication: |
March 2016
|
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Authors: | Jin, Xing ; Yang, Cheng-Yu |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 44.2016, p. 65-77
|
Subject: | American arithmetic average option | Optimal exercise time | Arithmetic average | Dimension reduction | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
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