Option-pricing in incomplete markets: the hedging portfolio plus a risk premium-based recursive approach
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References listed on IDEAS
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 113-147.
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- 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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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-12-01 (All new papers)
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