On the Computation of Continuous Time Option Prices Using Discrete Approximations
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 26 (1991)
Issue (Month): 04 (December)
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- Ekvall, Niklas, 1996. "A lattice approach for pricing of multivariate contingent claims," European Journal of Operational Research, Elsevier, vol. 91(2), pages 214-228, June.
- Broadie, Mark & Glasserman, Paul, 1997. "Pricing American-style securities using simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1323-1352, June.
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- Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
- Sandra Peterson & Richard Stapleton, 2002. "The pricing of Bermudan-style options on correlated assets," Review of Derivatives Research, Springer, vol. 5(2), pages 127-151, May.
- Anlong Li, 1992. "Binomial approximation in financial models: computational simplicity and convergence," Working Paper 9201, Federal Reserve Bank of Cleveland.
- Ariste Ruolz & Pierre Lasserre, 2001.
"La gestion optimale d'une forêt exploitée pour son potentiel de diminution des gaz à effet de serre et son bois,"
Cahiers de recherche du DÃ©partement des sciences Ã©conomiques, UQAM
20-03, Université du Québec à Montréal, Département des sciences économiques.
- Ariste, Ruolz & Lasserre, Pierre, 2001. "La gestion optimale d’une forêt exploitée pour son potentiel de diminution des gaz à effet de serre et son bois," L'Actualité Economique, Société Canadienne de Science Economique, vol. 77(1), pages 27-51, mars.
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