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American option valuation under continuous time Markov Chains
| File | Description | Size | Format | |
|---|---|---|---|---|
 14946_final.pdf | Accepted version | 355.64 kB | Adobe PDF | View/Open |
| Title: | American option valuation under continuous time Markov Chains |
| Authors: | Eriksson, B Pistorius, MR |
| Item Type: | Journal Article |
| Editors: | Asmussen, S |
| Issue Date: | 25-Jun-2015 |
| URI: | http://hdl.handle.net/10044/1/19226 |
| ISSN: | 0001-8678 |
| Publisher: | Applied Probability Trust |
| Start Page: | NA |
| End Page: | NA |
| Journal / Book Title: | Advances in Applied Probability |
| Volume: | 47 |
| Issue: | 2 |
| Copyright Statement: | Copyright © Applied Probability Trust 2014 |
| Publication Status: | Accepted |
| Appears in Collections: | Financial Mathematics |