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Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions

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Author Info
Chiarella, Carl
El-Hassan, Nadima
Kucera, Adam

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6V85-3Y9RKX5-7/2/76e8f0f733b0507c775c3d7e63dda915
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 23 (1999)
Issue (Month): 9-10 (September)
Pages: 1387-1424
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Handle: RePEc:eee:dyncon:v:23:y:1999:i:9-10:p:1387-1424

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  1. Carl Chiarella & Adam Kucera & Andrew Ziogas, 2004. "A Survey of the Integral Representation of American Option Prices," Research Paper Series 118, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  2. Andrew Matacz, 2000. "Path dependent option pricing: the path integral partial averaging method," Science & Finance (CFM) working paper archive 500034, Science & Finance, Capital Fund Management. [Downloadable!]
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