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American put options 1 accuracy measures 1 derivatives 1 early exercise boundaries 1 early exercise error 1 integral equation 1 multiply iterated binomial 1 option pricing 1 put pricing algorithms 1
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Goldenberg, David H. 1
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International Journal of Financial Markets and Derivatives 1
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Accuracy measures for American put option pricing algorithms
Goldenberg, David H. - In: International Journal of Financial Markets and Derivatives 1 (2009) 1, pp. 5-40
I address the dichotomy between American put option pricing theory and the numerical algorithms designed to estimate American put option prices. The literature has focused only on pricing error. However, early exercise is the essence of American option pricing (exercising) and with it comes the...
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