Evaluation of American Strangles

Carl Chiarella and Andrew Ziogas

No 28, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: American options; Volterra integral equation; Free-boundary problem (search for similar items in EconPapers)
JEL-codes: C61 D11 (search for similar items in EconPapers)
Date: 2002-07-01
New Economics Papers: this item is included in nep-fmk and nep-rmg
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Related works:
Journal Article: Evaluation of American strangles (2005)
Working Paper: Evaluation of American Strangles (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf2:28

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