An approximate moving boundary method for American option pricing. Chockalingam, A. & Muthuraman, K. European Journal of Operational Research, 240(2):431--438, 2015.
Paper doi bibtex @article{DBLP:journals/eor/ChockalingamM15,
author = {Arun Chockalingam and
Kumar Muthuraman},
title = {An approximate moving boundary method for American option pricing},
journal = {European Journal of Operational Research},
volume = {240},
number = {2},
pages = {431--438},
year = {2015},
url = {http://dx.doi.org/10.1016/j.ejor.2014.07.031},
doi = {10.1016/j.ejor.2014.07.031},
timestamp = {Fri, 10 Oct 2014 01:00:00 +0200},
biburl = {http://dblp.dagstuhl.de/rec/bib/journals/eor/ChockalingamM15},
bibsource = {dblp computer science bibliography, http://dblp.org}
}
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