Seize the Moments: Approximating American Option Prices in the GARCH Framework
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References listed on IDEAS
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More about this item
KeywordsAmerican Options; Edgeworth binomial tree; Garch process;
- G - Financial Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-07-31 (All new papers)
- NEP-ETS-2002-07-31 (Econometric Time Series)
- NEP-FIN-2002-07-31 (Finance)
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