Following Cox & Wermuth (1994, 2002), we show that the distribution of a set of binary observable variables, induced by a certain discrete latent variable model, may be approximated by a quadratic ...
This paper provides an efficient and accurate hybrid method to price American standard options in certain jump-diffusion models and American barrier-type options under the Black–Scholes framework. Our ...
SIAM Journal on Numerical Analysis, Vol. 34, No. 4 (Aug., 1997), pp. 1600-1615 (16 pages) This paper deals with a posteriori error estimators for nonconforming ...
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