Chang, Chuang-Chang; Lin, Jun-Biao; Tsai, Wei-Che; … - In: Review of Quantitative Finance and Accounting 39 (2012) 3, pp. 383-406
In this paper the authors investigate the performance of the original and repeated Richardson extrapolation methods for American option pricing by implementing both the original and modified Geske–Johnson approximation formulae. A comprehensive numerical comparison includes alternative...
