American Options with Discontinuous Two-Level Caps

SIAM Journal on Financial Mathematics 2018 / 01 Vol. 9; Iss. 1

American Options with Discontinuous Two-Level Caps

Detemple, Jerome, Kitapbayev, Yerkin
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Volume:
9
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/17M1110791
Date:
January, 2018
File:
PDF, 561 KB
english, 2018
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