Valuing American options using fast recursive projections
ContributorsCosma, Antonio; Galluccio, Stefano; Scaillet, Olivier
Number of pages46
Publication date2012
Abstract
Keywords
- Option pricing
- American option
- Bermudan option
- Discrete transform
- Discrete dividend paying stock
- Numerical techniques
Classification
- JEL : G13
Citation (ISO format)
COSMA, Antonio, GALLUCCIO, Stefano, SCAILLET, Olivier. Valuing American options using fast recursive projections. 2012 doi: 10.2139/ssrn.2091236
Main files (1)
Working paper
Identifiers
- PID : unige:41856
- DOI : 10.2139/ssrn.2091236