On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
Year of publication: |
2009
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Authors: | Frontczak, Robert ; Schöbel, Rainer |
Publisher: |
Tübingen : Eberhard Karls Universität Tübingen, Wirtschaftswissenschaftliche Fakultät |
Subject: | Optionspreistheorie | Analysis | Theorie | Modified Mellin transform | American call option | Integral representation |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 600763048 [GVK] hdl:10419/40309 [Handle] RePEc:zbw:tuedps:320 [RePEc] |
Classification: | G13 - Contingent Pricing; Futures Pricing |
Source: |
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