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Rethinking Valuation and Pricing Models || Valuation and Pricing Concepts in Accounting and Banking Regulation

✍ Scribed by Kullmann, Christopher


Book ID
120330112
Publisher
Elsevier
Year
2013
Weight
156 KB
Category
Article
ISBN
0124158757

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American option valuation: Implied calib
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This study analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility process. We propose the usage of Rubinstein's Edgeworth binomial tree (EBT) in contrast to simulation-based methods being considered in previous studies. The EBT-based valuation approach m