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Pricing American Put Options on Defaultable Bonds

✍ Scribed by Yoshifumi Muroi


Book ID
111539524
Publisher
Springer
Year
2002
Tongue
English
Weight
155 KB
Volume
9
Category
Article
ISSN
1573-6946

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## Abstract We investigate the pricing performance of eight trinomial trees and one binomial tree, which was found to be most effective in an earlier study, under 20 different implementation methodologies for pricing American put options. We conclude that the binomial tree, the Tian third‐order mom