Rojas-Bernal, Alejandro; Villamizar, Mauricio - In: Latin American journal of central banking : LAJCB 2 (2021) 1, pp. 1-24
portfolio of European options with different maturities. Among our findings, we show that: (i) our model is numerically robust … in pricing plain vanilla American options; (ii) the model matches observed bids and premiums of multidimensional options … analytical solution of the option’s greeks, which characterize the sensitivity to various risk factors. Finally, compared to the …