Open AccessAmerican Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods
Author(s) -
Mark Broadie,
Jérôme Detemple
Publication year - 1996
Publication title -
review of financial studies
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 12.8
H-Index - 190
eISSN - 1465-7368
pISSN - 0893-9454
DOI - 10.1093/rfs/9.4.1211
Subject(s) - binomial options pricing model , binomial (polynomial) , valuation (finance) , computation , binomial approximation , trinomial tree , dividend , approximations of π , upper and lower bounds , computer science , mathematics , mathematical economics , mathematical optimization , econometrics , valuation of options , algorithm , negative binomial distribution , economics , finance , statistics , poisson distribution , mathematical analysis
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom