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The Journal of Derivatives

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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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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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