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Keywords: American options
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2024) 41 (5): 981–997.
Published: 21 November 2023
... of evaluating American option, a transposition of this multigoal programming leads not only to nonconvex optimization subproblems but also to the undesirable fact that local zero deviations from self-financing are penalized. The analysis shows that issuers should consider some higher moments when evaluating...
