"Pricing American drawdown options under Markov models."

Xiang Zhang, Lingfei Li, Gongqiu Zhang (2021)

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DOI: 10.1016/J.EJOR.2021.01.033

access: closed

type: Journal Article

metadata version: 2021-06-01

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Xiang Zhang, Lingfei Li, Gongqiu Zhang:
Pricing American drawdown options under Markov models. Eur. J. Oper. Res. 293(3): 1188-1205 (2021)

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