Pricing American options in an infinite activity Lévy market : Monte Carlo and deterministic approaches using a diffusion approximation
Year of publication: |
2012
|
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Authors: | Powers, Lisa J. ; Nešlehová, Johanna ; Stephens, David |
Published in: |
Numerical methods in finance : Bordeaux, June 2010. - Berlin : Springer, ISBN 3-642-25745-3. - 2012, p. 291-321
|
Subject: | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
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