Confined exponential approximations for the valuation of American options

European Journal of Finance

Volumn 9, Issue 5, 2003, Pages 449-474

  Lee, Jongwoo ^a   Paxson, Dean A ^b  

^a Samsung Advanced Institute of Technology (SAIT)   (South Korea)

^b UNIVERSITY OF MANCHESTER   (United Kingdom)

Author keywords

Analytical approximations; Confined exponential distribution; Tight upper bounds; Two factor American option

Indexed keywords

EID: 0742323896     PISSN: 1351847X     EISSN: None     Source Type: Journal    
DOI: 10.1080/1351847032000082796     Document Type: Conference Paper

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