NN de-Americanization: an efficient method to facilitate calibration of American-style options

Saved in:
Bibliographic Details
Published in:Quantitative finance 2025-01, p.1-16
Main Authors: Pommergård Lind, Peter, Gatheral, Jim
Format: Article
Language:English
Citations: Items that this one cites
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:
ISSN:1469-7688
1469-7696
DOI:10.1080/14697688.2024.2432511