Pricing and exercising American options : an asymptotic expansion approach
Year of publication: |
2019
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Authors: | Li, Chenxu ; Ye, Yongxin |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 107.2019, p. 1-32
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Subject: | American option | Asymptotic expansion | Early exercise boundary | Fourier transform | Jumps | Stochastic volatility | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
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