Pricing American options by exercise rate optimization

Christian Bayer, Raul Tempone, Sören Wolfers

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

A new method for the numerical pricing of American options.
Original languageEnglish (US)
Pages (from-to)1-12
Number of pages12
JournalQuantitative Finance
DOIs
StatePublished - Jul 7 2020

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