Fast American Option Pricing: The Double‐Boundary Case. Issue 116 (22nd November 2021)
- Record Type:
- Journal Article
- Title:
- Fast American Option Pricing: The Double‐Boundary Case. Issue 116 (22nd November 2021)
- Main Title:
- Fast American Option Pricing: The Double‐Boundary Case
- Authors:
- Andersen, Leif
Lake, Mark - Abstract:
- Abstract : Leif Andersen and Mark Lake consider how to adjust integral‐based numerical techniques for American options to the special situation where the exercise region has a "double boundary."
- Is Part Of:
- Wilmott. Volume 2021:Issue 116(2021)
- Journal:
- Wilmott
- Issue:
- Volume 2021:Issue 116(2021)
- Issue Display:
- Volume 2021, Issue 116 (2021)
- Year:
- 2021
- Volume:
- 2021
- Issue:
- 116
- Issue Sort Value:
- 2021-2021-0116-0000
- Page Start:
- 30
- Page End:
- 41
- Publication Date:
- 2021-11-22
- Subjects:
- Finance -- Periodicals
Financial services industry -- Periodicals
332 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1541-8286 ↗
http://www.wilmott.com ↗ - DOI:
- 10.1002/wilm.10969 ↗
- Languages:
- English
- ISSNs:
- 1540-6962
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 24560.xml