P. JAILLET, D. LAMBERTON, AND B. LAPEYRE, Variational inequalities and the pricing of American options, Acta Appl. Math., 21 (1990), pp. 263--289. 24 Home/Search Document Details and Download
Context Related Articles Check |
This paper is cited by the following papers:
Pricing high-dimensional American options using local.. - Berridge, Schumacher (Correct)
An Irregular Grid Method for Solving High-Dimensional.. - Berridge, Schumacher (2002) (1 citation) (Correct)
Penalty and front-fixing methods for the numerical.. - Nielsen, Skavhaug.. (2001) (3 citations) (Correct)
The Valuation of American Passport Options - Chan (1999) (1 citation) (Correct)
On Trading American Options - Ahn, Wilmott (Correct)
On Trading American Options - Ahn, Wilmott (Correct)
Penalty and front-fixing methods for the numerical.. - Nielsen, Skavhaug.. (2000) (3 citations) (Correct)
Option Pricing and Linear Complementarity - Huang, Pang (1998) (4 citations) (Correct)
A Newton Method For American Option Pricing - Coleman, LI, VERMA (1999) (4 citations) (Correct)
Weak Solutions For The Valuation Of American Options, I.. - Badea, Wang (Correct)
Reports of the Department of Mathematical Information.. - Series Scientific.. (Correct)
Pricing American Options Using LU Decomposition - Ikonen, Toivanen (2004) (Correct)
Fast Deterministic Pricing of Options on Lévy.. - Matache, von.. (2003) (Correct)
Pricing, No-arbitrage Bounds and Robust Hedging of.. - Davis.. (2001) (Correct)
Fast Numerical Valuation of American, Exotic and Complex Options - Dempster, Hutton (1995) (1 citation) (Correct)
Weak Solutions For The Valuation Of American Options, II.. - Badea, Wang (Correct)
Alternative Characterizations of American Put Options - Carr, Jarrow, Myneni (1992) (9 citations) Self-citation (Lamberton) (Correct)
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC