SMEAL WIKI

PRICING AND HEDGING AMERICAN OPTIONS: A RECURSIVE INTEGRATION METHOD

Jing‐Zhi Huang, Marti G. Subrahmanyam, G. George Yu
Year1999
VenueWORLD SCIENTIFIC eBooks
Typebook-chapter
Citations88
DOI10.1142/9789812812599_0008
OpenAlexW2051812842

Topics

Stochastic processes and financial applicationsHedgeComputationValuation of optionsRelation (database)Mathematical optimization