CEV asymptotics of American options
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Publication:2442980
DOI10.1016/j.jmaa.2013.02.036zbMath1284.91553OpenAlexW2085569543MaRDI QIDQ2442980
Publication date: 2 April 2014
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2013.02.036
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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