Valuing American options using fast recursive projections
Contributeurs/tricesCosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; Scaillet, Olivier
Nombre de pages52
Date de publication2016
Résumé
Mots-clés
- Option pricing
- American option
- Bermudan option
- Discrete transform
- Discrete dividend paying stock
- Suboptimal non-exercise
- Numerical techniques
Classification
- JEL : G13
RemarqueNew version of the 2012 text - https://archive-ouverte.unige.ch/unige:41856
Structure d'affiliation
Citation (format ISO)
COSMA, Antonio et al. Valuing American options using fast recursive projections. 2016
Fichiers principaux (1)
Working paper
Identifiants
- PID : unige:82087