The valuation of American barrier options using the decomposition technique

DOI10.1016/S0165-1889(99)00093-7zbMath1032.91064WikidataQ127813721 ScholiaQ127813721MaRDI QIDQ1583156

R. Smith

Publication date: 26 October 2000

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(99)00093-7

zbMATH Keywords

asset pricing; derivatives; American option

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

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Cites Work

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