The valuation of American barrier options using the decomposition technique
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Publication:1583156
DOI10.1016/S0165-1889(99)00093-7zbMath1032.91064OpenAlexW3123612873WikidataQ127813721 ScholiaQ127813721MaRDI QIDQ1583156
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
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- On optimal stopping and free boundary problems
- Fast accurate binomial pricing
- Analytical Valuation of American-Style Asian Options
- A Reduction Method Applicable to Compound Option Formulas
- Optimal Stopping and the American Put
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- The Valuation of American Options on Multiple Assets
- Randomization and the American Put
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