Option pricing: Why be backward? The authors apply so-called forward methods to the pricing of continuously exercisable American-style put options. developing a forward partial integro-differential equation within a jump diffusion framework.
| Year of publication: |
2003
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|---|---|
| Authors: | Carr, Peter ; Hirsa, Ali |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 16.2003, 1, p. 103-108
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