多维百慕大期权定价的近期方法及其向美式期权价格的外推
概率论
2007-05-23 v7
摘要
本论文研究了若干适用于多资产期权的百慕大期权定价方法，其中一个主导性问题是将百慕大期权价格外推至美式期权（包括近似与“精确”）价格所需的自然标度。
引用
@article{arxiv.math/0501261,
title = {Recent approaches to multidimensional Bermudan option pricing and the extrapolation to American option prices},
author = {Frederik S Herzberg},
journal= {arXiv preprint arXiv:math/0501261},
year = {2007}
}
备注
117 pages including appendix and references; preliminary report on doctoral thesis