Pricing American options : a duality approach

Author(s)
Kogan, Leonid; Haugh, Martin B.
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Sloan School of Management.
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Description
Title from cover.
 
"December 2001."
 
"An earlier draft of this paper was titled Pricing high-dimensional American options : a duality approach."--Abstract.
 
Date issued
c2001
URI
http://hdl.handle.net/1721.1/48820
Publisher
[Cambridge, Mass. : Alfred P. Sloan School of Management, Massachusetts Institute of Technology]
Other identifiers
pricingamericano00koga
Series/Report no.
Working paper (Sloan School of Management) ; 4340.
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