Parallel Binomial American Option Pricing with (and without) Transaction Costs
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- Perrakis, Stylianos & Lefoll, Jean, 2000.
"Option pricing and replication with transaction costs and dividends,"
Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1527-1561, October.
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This paper has been announced in the following NEP Reports:- NEP-CIS-2011-10-22 (Confederation of Independent States)
- NEP-CMP-2011-10-22 (Computational Economics)
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