Optimal exercise of Russian options in the binomial model
R. W. Chen & B. Rosenberg
| Year of publication: |
2006
|
|---|---|
| Authors: | Chen, R. W. ; Rosenberg, B. |
| Published in: |
Computational finance and its applications II : [Second International Conference on Computational Finance - Computational finance II ; held in London in June 2006]. - Southampton [u.a.] : WIT Press, ISBN 1-84564-174-4. - 2006, p. 171-181
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| Subject: | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Dynamische Optimierung | Dynamic programming | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Notes: | Literaturangaben |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003410138