Pricing of American call options using simulation and numerical analysis / Beh Woan Lin

Consider the American basket call option in the case where there are N underlying assets, the number of possible exercise times prior to maturity is finite, and the vector of asset prices is modeled using a Levy process. A numerical method based on regression and numerical integration is proposed...

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主要作者: Beh, Woan Lin
格式: Thesis
出版: 2011
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