Extending quadrature methods to value multi-asset and complex path dependent options
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- repec:bla:irvfin:v:16:y:2016:i:4:p:647-658 is not listed on IDEAS
- Chen, Ding & Härkönen, Hannu J. & Newton, David P., 2014. "Advancing the universality of quadrature methods to any underlying process for option pricing," Journal of Financial Economics, Elsevier, vol. 114(3), pages 600-612.
- Jérôme Detemple, 2014. "Optimal Exercise for Derivative Securities," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 459-487, December.
- Carol Alexander & Xi Chen, 2014. "Risk-adjusted Valuation of the Real Option to Invest," ICMA Centre Discussion Papers in Finance icma-dp2014-19, Henley Business School, Reading University.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2016.
"Early exercise decision in American options with dividends, stochastic volatility and jumps,"
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2016. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps," Swiss Finance Institute Research Paper Series 16-73, Swiss Finance Institute.
- Sun, Lei & Widdicks, Martin, 2016. "Why do employees like to be paid with Options?: A multi-period prospect theory approach," Journal of Corporate Finance, Elsevier, vol. 38(C), pages 106-125.
- Michael Albert & Jason Fink & Kristin E. Fink, 2008. "Adaptive Mesh Modeling And Barrier Option Pricing Under A Jump-Diffusion Process," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(4), pages 381-408.
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