Efficient computation of option price sensitivities for options of American style
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References listed on IDEAS
- Barone-Adesi, Giovanni & Whaley, Robert E, 1987. "Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
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More about this item
Keywords
American options; Greeks; Leisen-Reimer trees;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- F31 - International Economics - - International Finance - - - Foreign Exchange
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