A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model
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Publication:5382670
DOI10.1093/imaman/dpt030zbMath1433.91167arXiv1305.0479OpenAlexW1482679775MaRDI QIDQ5382670
Antonino Zanette, Lucia Caramellino, Elisa Appolloni
Publication date: 18 June 2019
Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1305.0479
Stopping times; optimal stopping problems; gambling theory (60G40) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
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