LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS
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DOI: 10.1017/s0269964820000492
Abstract: In this paper, we develop the lower–upper-bound approximation in the space of Laplace transforms for pricing American options. We construct tight lower and upper bounds for the price of a finite-maturity American option when the… read more here.
Keywords: bound; american options; laplace bounds; bounds approximation ... See more keywords