The Early Exercise Premium Representation for American Options on Multiply Assets
Work
Year: 2015
Type: article
Abstract: In the paper we consider the problem of valuation of American options written on dividend-paying assets whose price dynamics follow the classical multidimensional Black and Scholes model. We provide a... more
Authors Tomasz Klimsiak, Andrzej Rozkosz
Institution Nicolaus Copernicus University
Cites: 35
Cited by: 7
Related to: 10
FWCI: 1.15
Citation percentile (by year/subfield): 84.86
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
APC paid (est): $3,590