Dempster, M. A. H.; Richards, D. G. Pricing American options fitting the smile. (English) Zbl 1034.91038 Math. Finance 10, No. 2, 157-177 (2000). MSC: 91B28 90C05 PDFBibTeX XMLCite \textit{M. A. H. Dempster} and \textit{D. G. Richards}, Math. Finance 10, No. 2, 157--177 (2000; Zbl 1034.91038) Full Text: DOI
Dempster, M. A. H.; Hutton, J. P. Pricing American stock options by linear programming. (English) Zbl 0980.91032 Math. Finance 9, No. 3, 229-254 (1999). MSC: 91G20 90C08 90C33 90C51 PDFBibTeX XMLCite \textit{M. A. H. Dempster} and \textit{J. P. Hutton}, Math. Finance 9, No. 3, 229--254 (1999; Zbl 0980.91032) Full Text: DOI
Dempster, M. A. H.; Hutton, J. P. Fast numerical valuation of American, exotic and complex options. (English) Zbl 1009.91017 Appl. Math. Finance 4, No. 1, 1-20 (1997). MSC: 91B28 PDFBibTeX XMLCite \textit{M. A. H. Dempster} and \textit{J. P. Hutton}, Appl. Math. Finance 4, No. 1, 1--20 (1997; Zbl 1009.91017) Full Text: DOI