Efficient Numerical Pricing of American Call Options Using Symmetry Arguments
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- Lars Stentoft, 2020. "Computational Finance," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 13(7), pages 1-4, July.
- Alghalith, Moawia, 2020. "Pricing the American options: A closed-form, simple formula," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 548(C).
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Keywordsleast-squares Monte Carlo; put-call symmetry; regression; simulation;
All these keywords.
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