Adaptive mesh relocation refinement on Kim's method : enhanced approximations and upper bounds for American options
Thomas L. Zeller, Michail Bozoudis
| Year of publication: |
2017
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|---|---|
| Authors: | Zeller, Thomas L. ; Bozoudis, Michail |
| Published in: |
International journal of bonds and derivatives. - Olney : Inderscience, ISSN 2050-2281, ZDB-ID 2765392-4. - Vol. 3.2017, 4, p. 335-364
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| Subject: | adaptive mesh refinement | American option | capped call | Kim's method | non-uniform time discretisation | optimal exercise boundary | RMSRE | upper bound | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011877185