Path-dependent American options
Year of publication: |
2019
|
---|---|
Authors: | Chevalier, Etienne ; Ly Vath, Vathana ; Mnif, Mohamed |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 23.2019, 1, p. 61-95
|
Subject: | stochastic control | path-dependent viscosity solutions | numerical scheme | variational inequalities | American options | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Pfadabhängigkeit | Path dependence | Black-Scholes-Modell | Black-Scholes model |
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