Valuing American-style options under the CEV model : an integral representation based method
Aricson Cruz, José Carlos Dias
| Year of publication: |
2020
|
|---|---|
| Authors: | Cruz, Aricson ; Dias, José Carlos |
| Subject: | CEV model | Option pricing | American-style options | Early exercise boundary | Iterative method | Optionspreistheorie | Option pricing theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-019-09157-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012229783