Utility-Based Pricing, Timing and Hedging of an American Call Option Under an Incomplete Market with Partial Information
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- R. Kalantari & S. Shahmorad & D. Ahmadian, 2016. "The Stability Analysis of Predictor–Corrector Method in Solving American Option Pricing Model," Computational Economics, Springer;Society for Computational Economics, vol. 47(2), pages 255-274, February.
More about this item
KeywordsPartial information; American option; Consumption utility-based indifference pricing; Incomplete market; C61; G13;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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