Pricing and exercising American options : an asymptotic expansion approach
Chenxu Li, Yongxin Ye
| Year of publication: |
2019
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|---|---|
| Authors: | Li, Chenxu ; Ye, Yongxin |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 107.2019, p. 1-32
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| Subject: | American option | Asymptotic expansion | Early exercise boundary | Fourier transform | Jumps | Stochastic volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2019.103729 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012312643