Work

Evaluation of American option prices in a path integral framework using Fourier–Hermite series expansions

Year: 1999

Type: article

Source: Journal of Economic Dynamics and Control

DOI: 10.1016/s0165-1889(98)00078-5

Authors: Carl Chiarella, Nadima El-Hassan, Adam Kucera

Institution: University of Technology Sydney

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2009949550

FWCI: 2.752

Cites: 17

Cited by: 36

Related to: 10