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A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model
Appolloni, Elisa, Caramellino, Lucia, Zanette, AntoninoVolume:
26
Language:
english
Journal:
IMA Journal of Management Mathematics
DOI:
10.1093/imaman/dpt030
Date:
October, 2015
File:
PDF, 212 KB
english, 2015