Fast and accurate calculation of American option prices
Luca Vincenzo Ballestra
| Year of publication: |
2018
|
|---|---|
| Authors: | Ballestra, Luca Vincenzo |
| Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 41.2018, 2, p. 399-426
|
| Subject: | American option | Front-fixing | Richardson extrapolation | Free-boundary problem | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-018-0224-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011997949