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Fast numerical valuation of American, exotic and complex options
Dempster, Michael A. H. - In: Applied mathematical finance 4 (1997) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10001226776
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Pricing American stock options by linear programming
Dempster, Michael A. H.; Hutton, J. P. - In: Mathematical finance : an international journal of … 9 (1999) 3, pp. 229-254
Persistent link: https://www.econbiz.de/10001444164
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LP valuation of exotic American options exploiting structure
Dempster, Michael A. H.; Hutton, J. P.; Richards, Donald G. - In: The journal of computational finance 2 (1998) 1, pp. 61-84
Persistent link: https://www.econbiz.de/10001447235
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LP-valuation of exotic American options exploiting structure
Dempster, Michael A. H.; Hutton, J. P.; Richards, D. G. - 1998
Persistent link: https://www.econbiz.de/10004340041