On extensions of the Barone-Adesi and Whaley method to price American-type options
Year of publication: |
2020
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Authors: | Mathys, Ludovic |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 24.2020, 2, p. 33-76
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Subject: | American-type options | exotic options | jump-diffusion models | Barone-Adesi and Whaley approximation | perturbation expansion | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
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