David Solomon

University of Chicago

1101 East 58th Street

Chicago, IL 60637

United States

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A Multinomial Approximation for American Option Prices in Levy Process Models

Mathematical Finance, Vol. 16, No. 4, pp. 613-633, October 2006
Number of pages: 21 Posted: 31 Aug 2006
Ross Maller, David Solomon and Alexander Szimayer
Australian National University (ANU) - School of Finance and Applied Statistics, University of Chicago and University of Hamburg - Faculty of Economics and Business Administration
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