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Approximations

There has been developed some useful approximations to various specific options. It is of course American options that are approximated. The particular example we will look at, is a general quadratic approximation to American call and put prices.

Subsections
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Next: A quadratic approximation to Up: Financial Numerical Recipes. Previous: Hedge parameters   Contents   Index
Bernt Arne Odegaard
1999-09-09