Title of article :
American option pricing under GARCH by a Markov chain approximation
Author/Authors :
Jin-Chuan Duan، نويسنده , , Jean-Guy Simonato، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2001
Keywords :
Black}Scholes model , American Options , GARCH , Markov chain , Sparsematrix
Journal title :
Journal of Economic Dynamics and Control
Journal title :
Journal of Economic Dynamics and Control
