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~person:"Wang, Shijun"
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American call option
1
American call option, Stochastic volatility, Early exercise boundary, Chebyshev polynomials
1
Chebyshev polynomials
1
Early exercise boundary
1
Optionspreistheorie
1
Stochastic volatility
1
Stochastischer Prozess
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Wang, Shijun
Dette, Holger
7
Gil-Alaña, Luis A.
7
Cuestas, Juan Carlos
4
Canarella, Giorgio
3
Caporale, Guglielmo Maria
3
Gil-Alana, Luis A.
3
Gupta, Rangan
3
Miller, Stephen M.
3
Richter, Alexander W.
3
Throckmorton, Nathaniel A.
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Walker, Todd B.
3
Aghdam, Y. Esmaeelzade
2
Biedermann, Stefanie
2
Hoffmann, Philipp
2
Melas, Viatcheslav B.
2
Mesgarani, H.
2
Neto, David
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Sephton, Peter S.
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Tzavalis, Elias
2
Wiens, Douglas P.
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Wong, Weng Kee
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Adl, A.
1
Bakhshandeh, M.
1
Balparda, Borja
1
Baxley, John V.
1
Berenhaut, Kenneth S.
1
Bokhari, S.
1
Bunday, B.
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ElMawazini, Khaled
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Farnam, B.
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Frutos, Javier de
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Gatón, Víctor
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Gaß, Maximilian
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Genc, Talat S.
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Glau, Kathrin
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Gómez-Aguilar, J. F.
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Huang, Mong-Na Lo
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Jaddu, Hussein
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School of Economics and Finance, Queen Mary
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EconStor
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Pricing American options under stochastic volatility: A new method using
Chebyshev
polynomials
to approximate the early exercise boundary
Tzavalis, Elias
;
Wang, Shijun
-
2003
based on an approximation of the optimal exercise boundary by
Chebyshev
polynomials
. Numerical results show that our …
Persistent link: https://www.econbiz.de/10010284217
Saved in:
2
Pricing American Options under Stochastic Volatility: A New Method Using
Chebyshev
Polynomials
to Approximate the Early Exercise Boundary
Tzavalis, Elias
;
Wang, Shijun
-
School of Economics and Finance, Queen Mary
-
2003
based on an approximation of the optimal exercise boundary by
Chebyshev
polynomials
. Numerical results show that our …
Persistent link: https://www.econbiz.de/10005106439
Saved in:
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