Optimal exercise of Russian options in the binomial model

Encyclopedia entry

R. W Chen and B Rosenberg

Computational finance and its applications II, Vol.43, pp.171-181

Zentralbibliothek der Wirtschaftswissenschaften in der Bundesrepublik Deutschland

2006-01-01

Abstract

Derivat

Dynamische Optimierung

Optionspreistheorie

Theorie

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Title: Optimal exercise of Russian options in the binomial model
Creators: R. W Chen - University of Miami
B Rosenberg
Publication Details: Computational finance and its applications II, Vol.43, pp.171-181
Publisher: Zentralbibliothek der Wirtschaftswissenschaften in der Bundesrepublik Deutschland
Academic Unit: College of A&S; A&S - Computer Science
Language: English
Resource Type: Encyclopedia entry
Record Identifier: 991031713846602976