A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS

By Ross Maller, David H. Solomon, Alexander Szimayer. 2006

56 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/ea4cb95ba046c1db09f6ccc7e4226c7f9ee4895b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Gernot J. Müller
2. Alexander Szimayer
3. Ross Maller
4. Peter J. Brockwell
5. A. Lindner
6. Ken-iti Sato
7. Claudia Klüppelberg
8. Andreas E. Kyprianou

Citations in the corpus

• GARCH modelling in continuous time for irregularly spaced time series data (2008, background): “There are applications areas where the stronger convergence is essential; for example, in the pricing of American options (see [18] and their discussion and references).”