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Pricing American options : a duality approach

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pricingamericano00koga.pdf

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Author(s)
Kogan, Leonid
•
Haugh, Martin B.
Date Issued
c2001
Publisher
[Cambridge, Mass. : Alfred P. Sloan School of Management, Massachusetts Institute of Technology]
Series/Report no.
Working paper (Sloan School of Management) ; 4340.
Description
Title from cover.
"December 2001."
"An earlier draft of this paper was titled Pricing high-dimensional American options : a duality approach."--Abstract.
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