Early exercise premium method for pricing American options under the J-model
Year of publication: |
2016
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Authors: | Jerbi, Yacin |
Published in: |
Financial innovation : FIN. - Heidelberg : SpringerOpen, ISSN 2199-4730, ZDB-ID 2824759-0. - Vol. 2.2016, 21, p. 1-26
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Subject: | American option pricing | Stochastic volatility model | Early exercise boundary | Early exercise premium | J-law | J-process | J-formula | Heston model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionsgeschäft | Option trading |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1186/s40854-016-0042-9 [DOI] hdl:10419/176434 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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