A two-step simulation procedure to analyze the exercise features of American options
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Bibliographic InfoArticle provided by Springer in its journal Decisions in Economics and Finance.
Volume (Year): 27 (2004)
Issue (Month): 1 (08)
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Web page: http://link.springer.de/link/service/journals/10203/index.htm
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- Martina Nardon & Paolo Pianca, 2012. "Extracting information on implied volatilities and discrete dividends from American options prices," Working Papers 2012_25, Department of Economics, University of Venice "Ca' Foscari".
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- Yi-Ping Chang & Ming-Chin Hung & Yi-Chen Ko, 2011. "A multinomial tree model for pricing credit default swap options," Computational Statistics, Springer, vol. 26(1), pages 95-120, March.
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