Pricing American Options a Duality Approach
Pricing American Options a Duality Approach
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In our eReader you can find the full English version of the book. Read Pricing American Options a Duality Approach Online - link to read the book on full screen. Our eReader also allows you to upload and read Pdf, Txt, ePub and fb2 books. In the Mini eReder on the page below you can quickly view all pages of the book - Read Book Pricing American Options a Duality Approach
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E j=i -j-i B, B, B, 5, _i B, _i S, _, V, 5j -^J 5j-l -^J-l < K)+|Vb-K)|+EoJ](E, _i j=i 5. 5, Bj-i Bt-. , where the second inequaUty is due to the supermartingale property of the discounted option price process, Vf, and the last step follows from the triangle inequality. The result of Theorem 2 then follows. A. 2 Proof of Theorem 3 At time t, the following six mutually exclusive events are possible: (i) Qt
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You can find similar books in the "Read Also" column, or choose other free books by Leonid Kogan to read online
To quickly assess the difficulty of the text, read a short excerpt:
E j=i -j-i B, B, B, 5, _i B, _i S, _, V, 5j -^J 5j-l -^J-l < K)+|Vb-K)|+EoJ](E, _i j=i 5. 5, Bj-i Bt-. , where the second inequaUty is due to the supermartingale property of the discounted option price process, Vf, and the last step follows from the triangle inequality. The result of Theorem 2 then follows. A. 2 Proof of Theorem 3 At time t, the following six mutually exclusive events are possible: (i) Qt
What to read after Pricing American Options a Duality Approach?
You can find similar books in the "Read Also" column, or choose other free books by Leonid Kogan to read online
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