The valuation of American barrier options using the decomposition technique

Journal of Economic Dynamics and Control

Volumn 24, Issue 11-12, 2000, Pages 1783-1827

  Gao, Bin ^a   Huang, Jing Zhi ^b   Subrahmanyam, Marti ^c  

^a UNIVERSITY OF NORTH CAROLINA   (United States)

^b PENNSYLVANIA STATE UNIVERSITY   (United States)

^c NEW YORK UNIVERSITY   (United States)

Author keywords

American option; Asset pricing; Derivatives

Indexed keywords

EID: 0010112611     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1889(99)00093-7     Document Type: Article

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