A Multinomial Approximation for American Option Prices in Levy Process Models

Citation

Maller, R, Solomon, D & Szimayer, A 2006, 'A Multinomial Approximation for American Option Prices in Levy Process Models', Mathematical Finance, vol. 16, no. 4, pp. 613-633.

Year

2006

ANU Authors

Field of Research

  • Applied Statistics

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