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On a generalization of the Richardson extrapolation process

✍ Scribed by Avram Sidi


Publisher
Springer-Verlag
Year
1990
Tongue
English
Weight
511 KB
Volume
57
Category
Article
ISSN
0029-599X

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## Abstract In this article, the authors reexamine the American‐style option pricing formula of R. Geske and H.E. Johnson (1984), and extend the analysis by deriving a modified formula that can overcome the possibility of nonuniform convergence (which is likely to occur for nonstandard American opt