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Enhancing the accuracy of pricing American/Bermudan options

Research output: Contribution to journalJournal articlepeer-review

Published

Standard

Enhancing the accuracy of pricing American/Bermudan options. / Duck, P W; Newton, D P; Widdicks, M; Leung, Y.

In: Journal of Derivatives, Vol. 12, No. 4, 2005, p. 34-44.

Research output: Contribution to journalJournal articlepeer-review

Harvard

Duck, PW, Newton, DP, Widdicks, M & Leung, Y 2005, 'Enhancing the accuracy of pricing American/Bermudan options', Journal of Derivatives, vol. 12, no. 4, pp. 34-44.

APA

Duck, P. W., Newton, D. P., Widdicks, M., & Leung, Y. (2005). Enhancing the accuracy of pricing American/Bermudan options. Journal of Derivatives, 12(4), 34-44.

Vancouver

Duck PW, Newton DP, Widdicks M, Leung Y. Enhancing the accuracy of pricing American/Bermudan options. Journal of Derivatives. 2005;12(4):34-44.

Author

Duck, P W ; Newton, D P ; Widdicks, M ; Leung, Y. / Enhancing the accuracy of pricing American/Bermudan options. In: Journal of Derivatives. 2005 ; Vol. 12, No. 4. pp. 34-44.

Bibtex

@article{1164913fbec248579e98232d4f429548,
title = "Enhancing the accuracy of pricing American/Bermudan options",
author = "Duck, {P W} and Newton, {D P} and M Widdicks and Y Leung",
year = "2005",
language = "English",
volume = "12",
pages = "34--44",
journal = "Journal of Derivatives",
issn = "1074-1240",
publisher = "Institutional Investor, Inc",
number = "4",

}

RIS

TY - JOUR

T1 - Enhancing the accuracy of pricing American/Bermudan options

AU - Duck, P W

AU - Newton, D P

AU - Widdicks, M

AU - Leung, Y

PY - 2005

Y1 - 2005

M3 - Journal article

VL - 12

SP - 34

EP - 44

JO - Journal of Derivatives

JF - Journal of Derivatives

SN - 1074-1240

IS - 4

ER -