A robust tree method for pricing American options with the Cox–Ingersoll–Ross interest rate model

Elisa Appolloni, Lucia Caramellino, Antonino Zanette

Source record

Source: Crossref

Published: Jan 15, 2014

DOI: 10.1093/imaman/dpt030

Open original source ↗

Evidence graph

No public relationships recorded yet.

Integrity note: This page is a factual metadata record created by deterministic ingestion. It is not a claim that the work moves a mathematical frontier or has been independently verified.