Pricing American options by exercise rate optimization

Journal article

Peer reviewed

Quantitative finance, Vol.20(11), pp.1749-1760

01/11/2020

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Title: Pricing American options by exercise rate optimization
Creators - without role: Christian Bayer - Weierstrass Institute for Applied Analysis and Stochastics
Raúl Tempone - RWTH Aachen University
Sören Wolfers - King Abdullah University of Science and Technology
Publication Details: Quantitative finance, Vol.20(11), pp.1749-1760
Identifiers: 9944564008331
Academic Unit: King Abdullah University of Science & Technology
Language: English
Resource Type: Journal article