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Alfredo Ibáñez
Publication Activity (10 Years)
Years Active: 2003-2020
Publications (10 Years): 1
Top Topics
Upper Bound
Lower And Upper Bounds
Error Probability
Worst Case
Top Venues
Eur. J. Oper. Res.
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Publications
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Alfredo Ibáñez
,
Carlos Velasco
Recursive lower and dual upper bounds for Bermudan-style options.
Eur. J. Oper. Res.
280 (2) (2020)
Alfredo Ibáñez
Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium.
Manag. Sci.
49 (9) (2003)