SMEAL WIKI

PRICING AND HEDGING AMERICAN OPTIONS: A RECURSIVE INTEGRATION METHOD

Jing-Zhi Jay Huang, Marti G. Subrahmanyam, Guo-Xiang Yu
Year1999
VenueWORLD SCIENTIFIC eBooks
Typebook-chapter
Citations86
DOI10.1142/9789812812599_0008
OpenAlexW2051812842

Topics

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