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American Option Pricing: An Accelerated Lattice Model with Intelligent Lattice Search

Qianru Shang and Brian Byrne
The Journal of Derivatives Fall 2019, jod.2019.1.080; DOI: https://doi.org/10.3905/jod.2019.1.080
Qianru Shang
is a PhD candidate in finance at the College of Business of Technological University Dublin, in Dublin, Ireland
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Brian Byrne
is a lecturer in finance and MSc Finance co-ordinator at the College of Business of Technological University Dublin, in Dublin, Ireland
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jod.2019.1.080
DOI 
https://doi.org/10.3905/jod.2019.1.080

Published By 
Pageant Media Ltd
Print ISSN 
1074-1240
Online ISSN 
2168-8524
History 
  • Published online August 27, 2019.

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  • Latest version (July 4, 2019 - 04:27).
  • You are currently viewing a Latest version of this article (August 27, 2019 - 23:28).
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© 2019 Pageant Media Ltd

Author Information

  1. Qianru Shang
    1. is a PhD candidate in finance at the College of Business of Technological University Dublin, in Dublin, Ireland. (jennifer.shang{at}mydit.ie)
  2. Brian Byrne
    1. is a lecturer in finance and MSc Finance co-ordinator at the College of Business of Technological University Dublin, in Dublin, Ireland. (brian.byrne{at}dit.ie)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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The Journal of Derivatives: 28 (3)
The Journal of Derivatives
Vol. 28, Issue 3
Spring 2021
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American Option Pricing: An Accelerated Lattice Model with Intelligent Lattice Search
Qianru Shang, Brian Byrne
The Journal of Derivatives Aug 2019, jod.2019.1.080; DOI: 10.3905/jod.2019.1.080

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American Option Pricing: An Accelerated Lattice Model with Intelligent Lattice Search
Qianru Shang, Brian Byrne
The Journal of Derivatives Aug 2019, jod.2019.1.080; DOI: 10.3905/jod.2019.1.080
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  • Article
    • Abstract
    • EXTENDING KIM-BYUN-CURRAN: THE OPTIMAL EXERCISE BOUNDARY ADAPTED FOR UNRESTRICTED CONTINUOUS DIVIDENDS
    • TWO ACCELERATION TECHNOLOGIES: TRUNCATION AND DYNAMIC MEMORY
    • THE EFFICIENT PRICING PROCESS OF AN ACCELERATED CRR MODEL: APPLYING INTELLIGENT LATTICE SEARCH ALGORITHM, TRUNCATION, AND DYNAMIC MEMORY
    • NUMERICAL RESULTS
    • CONCLUSION
    • ADDITIONAL READING
    • ENDNOTES
    • REFERENCES
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