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The valuation of American barrier options using the decomposition technique

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Author Info
Gao, Bin
Huang, Jing-zhi
Subrahmanyam, Marti

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File URL: http://www.sciencedirect.com/science/article/B6V85-412RWNR-C/2/83ff359a94f5d3a0ed2b008de1fa6810
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 24 (2000)
Issue (Month): 11-12 (October)
Pages: 1783-1827
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Handle: RePEc:eee:dyncon:v:24:y:2000:i:11-12:p:1783-1827

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  1. Wei Xiong & Ronnie Sircar, 2004. "Evaluating Incentive Options," Econometric Society 2004 North American Winter Meetings 253, Econometric Society. [Downloadable!]
  2. Antonella Basso & Martina Nardon & Paolo Pianca, 2004. "A two-step simulation procedure to analyze the exercise features of American options," Decisions in Economics and Finance, Springer, vol. 27(1), pages 35-56, 08. [Downloadable!] (restricted)
  3. Marc Chesney & Laurent Gauthier, 2006. "American Parisian options," Finance and Stochastics, Springer, vol. 10(4), pages 475-506, December. [Downloadable!] (restricted)
  4. Jérôme B. Detemple, 1999. "American Options: Symmetry Properties," CIRANO Working Papers 99s-45, CIRANO. [Downloadable!]
  5. Roland Mallier & Ghada Alobaidi, 2000. "Laplace transforms and American options," Applied Mathematical Finance, Taylor and Francis Journals, vol. 7(4), pages 241-256, December. [Downloadable!] (restricted)
  6. Minh Ha-Duong & Benoit Morel, 2003. "The real option with an absorbing barrier," Post-Print halshs-00003976_v1, HAL. [Downloadable!]
  7. J. C. Ndogmo & D. B. Ntwiga, 2007. "High-order accurate implicit methods for the pricing of barrier options," Quantitative Finance Papers 0710.0069, arXiv.org. [Downloadable!]
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