Pricing American options : a duality approach

Name

pricingamericano00koga.pdf

Size

2.04 MB

Format

Adobe PDF

Checksum (MD5)

74dc3445b96cab2d460144a20210680c

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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