Chuang‐Chang Chang; San‐Lin Chung; Stapleton, Richard C. - In: Journal of Futures Markets 27 (2007) 8, pp. 791-817
In this article, the authors reexamine the American‐style option pricing formula of R. Geske and H.E. Johnson (1984), and extend the analysis by deriving a modified formula that can overcome the possibility of nonuniform convergence (which is likely to occur for nonstandard American options...