Work

A dynamic programming approach for pricing options embedded in bonds

Year: 2006

Type: article

Source: Journal of Economic Dynamics and Control

DOI: 10.1016/j.jedc.2006.06.007

Authors: Hatem Ben-Ameur, Michèle Breton, Lotfi Karoui, Pierre L’Ecuyer

Institutions: HEC Montréal, Group for Research in Decision Analysis, McGill University, Université de Montréal

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: Canada Research Chairs, Natural Sciences and Engineering Research Council of Canada

OpenAlex ID: W1487914112

FWCI: 5.671

Cites: 37

Cited by: 49

Related to: 10