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American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison. (2011). Stentoft, Lars.
In: CREATES Research Papers.
RePEc:aah:create:2011-34.

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  1. A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options. (2024). Stentoft, Lars ; Zhu, Xiaotian ; Reesor, Mark R.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004094.

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  2. The continuous-time limit of quasi score-driven volatility models. (2024). He, Ping ; Wu, Yinhao.
    In: Papers.
    RePEc:arx:papers:2409.14734.

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  3. Exploring Option Pricing and Hedging via Volatility Asymmetry. (2021). Veiga, Helena ; Casas, Isabel.
    In: Computational Economics.
    RePEc:kap:compec:v:57:y:2021:i:4:d:10.1007_s10614-020-10005-5.

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  4. The continuous-time limit of score-driven volatility models. (2021). Buccheri, Giuseppe ; Livieri, Giulia ; Corsi, Fulvio ; Flandoli, Franco.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:221:y:2021:i:2:p:655-675.

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  5. Developing a Risk-Based Approach for American Basket Option Pricing. (2019). Mahootchi, Masoud ; Hajizadeh, Ehsan.
    In: Computational Economics.
    RePEc:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9826-5.

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  6. Weak Diffusion Limits of Dynamic Conditional Correlation Models. (2016). Violante, Francesco ; Laurent, Sébastien ; Hafner, Christian.
    In: LIDAM Discussion Papers ISBA.
    RePEc:aiz:louvad:2016034.

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  7. Non-Gaussian GARCH option pricing models and their diffusion limits. (2015). Elliott, Robert J ; Ortega, Juan-Pablo ; Badescu, Alexandru.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:247:y:2015:i:3:p:820-830.

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  8. Weak diffusion limits of dynamic conditional correlation models. (2015). Violante, Francesco ; Laurent, Sébastien ; Hafner, Christian.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-03.

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References

References cited by this document

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