Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
| Year of publication: |
1999
|
|---|---|
| Authors: | Chiarella, Carl ; El-Hassan, Nadima ; Kucera, Adam |
| Published in: |
Journal of Economic Dynamics and Control. - Elsevier, ISSN 0165-1889. - Vol. 23.1999, 9-10, p. 1387-1424
|
| Publisher: |
Elsevier |