The pricing of Bermudan-style options on correlated assets
Year of publication: |
2002
|
---|---|
Authors: | Peterson, Sandra ; Stapleton, Richard |
Published in: |
Review of Derivatives Research. - Springer. - Vol. 5.2002, 2, p. 127-151
|
Publisher: |
Springer |
Subject: | Binomial approximation | correlated assets | options |
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