Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
Year of publication: |
2009
|
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Authors: | Bayraktar, Erhan ; Xing, Hao |
Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 70.2009, 3, p. 505-525
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Subject: | Suchtheorie | Search theory | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
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