Open AccessAmerican Option Pricing: An Accelerated Lattice Model with Intelligent Lattice Search
Author(s) -
Qianru Shang,
Brian Byrne
Publication year - 2019
Publication title -
the journal of derivatives
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.286
H-Index - 44
eISSN - 2168-8524
pISSN - 1074-1240
DOI - 10.3905/jod.2019.1.080
Subject(s) - lattice (music) , binomial options pricing model , computer science , portfolio , volatility (finance) , trinomial tree , valuation of options , mathematical optimization , mathematics , algorithm , econometrics , financial economics , economics , physics , acoustics
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