Pricing American Options Fitting the Smile (Q2707141)

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Pricing American Options Fitting the Smile
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    title
    Pricing American Options Fitting the Smile (English)
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    author
    David G. Richards
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    Michael A. H. Dempster
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    publication date
    29 March 2001
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    zbMATH DE Number
    1582849
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    zbMATH Keywords
    american options
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    exotic options
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    linear programming
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    volatility smile
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    inverse problem
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    OpenAlex ID
    W2046248410
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