Lattice Option Pricing By Multidimensional Interpolation
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- Vladislav Kargin, 2005. "Lattice Option Pricing By Multidimensional Interpolation," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 635-647.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Denis Belomestny & Grigori Milstein & Vladimir Spokoiny, 2009.
"Regression methods in pricing American and Bermudan options using consumption processes,"
Taylor & Francis Journals, vol. 9(3), pages 315-327.
- Denis Belomestny & Grigori N. Milstein & Vladimir Spokoiny, 2006. "Regression methods in pricing American and Bermudan options using consumption processes," SFB 649 Discussion Papers SFB649DP2006-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- repec:taf:oaefxx:v:5:y:2017:i:1:p:1358894 is not listed on IDEAS
- François-Heude, Alain & Yousfi, Ouidad, 2013. "A Generalization of Gray and Whaley's Option," MPRA Paper 47908, University Library of Munich, Germany, revised 30 Jun 2013.
More about this item
Keywordsinterpolation; option pricing;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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