Estimating early exercise premiums on gold and copper options using a multifactor model and density matched lattices
Year of publication: |
2015
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Authors: | Hilliard, Jimmy E. ; Hilliard, Jitka |
Published in: |
The financial review : the official publication of the Eastern Finance Association. - Malden, Mass. [u.a.] : Blackwell, ISSN 0732-8516, ZDB-ID 864322-2. - Vol. 50.2015, 1, p. 27-56
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Subject: | gold | copper | options | density matching | early exercise | Kalman filter | Optionspreistheorie | Option pricing theory | Gold | Kupfer | Copper | Optionsgeschäft | Option trading | Zustandsraummodell | State space model |
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