Pricing American-Style Derivatives with European Call Options
Year of publication: |
2006
|
---|---|
Authors: | Laprise, Scott B. ; Fu, Michael C. ; Marcus, Steven I. ; Lim, Andrew E. B. ; Zhang, Huiju |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 52.2006, 1, p. 95-110
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | American-style derivatives | American options | European options | call options | early exercise | stochastic dynamic programming |
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