Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions

Carl Chiarella (), Nadima El-Hassan () and Adam Kucera

Journal of Economic Dynamics and Control, 1999, vol. 23, issue 9-10, pages 1387-1424

Date: 1999
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Journal of Economic Dynamics and Control is edited by J. Bullard, C. Chiarella, C. H. Hommes, P. N. Ireland, T. Cogley and M. Juillard

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