Using Richardson extrapolation techniques to price American options with alternative stochastic processes
Year of publication: |
2012
|
---|---|
Authors: | Chang, Chuang-Chang ; Lin, Jun-Biao ; Tsai, Wei-Che ; Wang, Yaw-Huei |
Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 39.2012, 3, p. 383-406
|
Publisher: |
Springer |
Subject: | American options | Richardson extrapolation | Repeated Richardson extrapolation | Stochastic process |
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