Numerical Methods For American Option Pricing

Numerical Methods For American Option Pricing

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An analytic solution does not exist for evaluating the American put option. Usually, the value is obtained by applying numerical methods. For instance, the PSOR algorithm is a widely used one in financial industry. In the past few years, many other methods to solve American option problems have been...

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Dettagli Bibliografici
Autore principale:	Liu, P
Natura:	Tesi
Pubblicazione:	University of Oxford;Mathematics 2008

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