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Found 33 Documents (Results 1–33)

Continuity corrections for certain perpetual American and Bermudan options on multiple assets. (English) Zbl 1140.91044

Berichte aus der Mathematik. Aachen: Shaker Verlag (ISBN 978-3-8322-5766-8/pbk). x, 61 p. (2007).
MSC:  91B28 60G51 60G40
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Error bounds and convergence for American put option pricing based on translation-invariant Markov chains. (English) Zbl 1140.91043

Industriemathematik und Angewandte Mathematik. Aachen: Shaker Verlag (ISBN 978-3-8322-5790-3/pbk). viii, 55 p. (2006).
MSC:  91G20 60G50 60G42
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