Using Richardson extrapolation techniques to price American options with alternative stochastic processes
Chuang-Chang Chang; Jun-Biao Lin; Wei-Che Tsai; Yaw-Huei Wang
| Year of publication: |
2012
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|---|---|
| Authors: | Chang, Chuang-chang ; Lin, Jun-biao ; Tsai, Wei-che ; Wang, Yaw-huei |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 39.2012, 3, p. 383-406
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| Subject: | American options | Richardson extrapolation | Repeated Richardson extrapolation | Stochastic process | Stochastischer Prozess | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009673702