Efficient Pricing of Derivatives on Assets with Discrete Dividends (Q3424328): Difference between revisions

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-Michel H. Vellekoop
@@ Property / author: Michel H. Vellekoop / rank @@
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-Q242787
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@@ Property / author @@
+Michel H. Vellekoop
@@ Property / author: Michel H. Vellekoop / rank @@
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@@ Property / author @@
+Johannes W. Nieuwenhuis
@@ Property / author: Johannes W. Nieuwenhuis / rank @@
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+MaRDI publication profile
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+W2102729137
@@ Property / OpenAlex ID: W2102729137 / rank @@
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@@ Property / cites work @@
+CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS<sup>1</sup>
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
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@@ Property / cites work @@
+Error estimates for the binomial approximation of American put options
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@@ Property / cites work @@
+Pricing the American put option: A detailed convergence analysis for binomial models
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+Valuing American Options by Simulation: A Simple Least-Squares Approach
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+Publication:3424328