Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Wong, Hoi Ying & Guan, Peiqiu, 2011. "An FFT-network for Lévy option pricing," Journal of Banking & Finance, Elsevier, vol. 35(4), pages 988-999, April.
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"Early exercise decision in American options with dividends, stochastic volatility and jumps,"
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- Chung, San-Lin & Hung, Mao-Wei & Wang, Jr-Yan, 2010. "Tight bounds on American option prices," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 77-89, January.
- Ibáñez, Alfredo, 2008. "Factorization of European and American option prices under complete and incomplete markets," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 311-325, February.
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KeywordsAmerican Put Option; Richardson Extrapolation; Early Exercise Premium;
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