Efficient estimation of lower and upper bounds for pricing higher-dimensional American arithmetic average options by approximating their payoff functions
Xing Jin, Cheng-Yu Yang
| 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
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| Subject: | American arithmetic average option | Optimal exercise time | Arithmetic average | Dimension reduction | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | USA | United States | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2016.01.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011623807