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Applied Economics Letters Volume 10, 2003 - Issue 11
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Original Articles

The simplest American and Real Option approximations: Geske–Johnson interpolation in maturity and yield

San-Lin Chung Department of Finance, National Taiwan University, Taiwan
&
Mark Shackleton Accounting & Finance, Lancaster University, LA1 4YX, UK
Pages 709-716 | Published online: 04 Jun 2010

Citations (6)

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Read on this site (3)

Tian-Shyr Dai & Yuh-Dauh Lyuu. (2009) Accurate approximation formulas for stock options with discrete dividends. Applied Economics Letters 16:16, pages 1657-1663.
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Susana Alonso-Bonis, Valentín Azofra-Palenzuela & Gabriel de la Fuente-Herrero. (2009) Real option value and random jumps: application of a simulation model. Applied Economics 41:23, pages 2977-2989.
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Murat Isik. (2005) Incorporating decision makers’ risk preferences into real options models. Applied Economics Letters 12:12, pages 729-734.
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Articles from other publishers (3)

Song-Ping Zhu & Xin-Jiang He. (2016) An accurate approximation formula for pricing European options with discrete dividend payments. IMA Journal of Management Mathematics, pages dpw020.
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Christine Brown, Jonathan Dark & Kevin Davis. (2010) Exchange traded contracts for difference: Design, pricing, and effects. Journal of Futures Markets 30:12, pages 1108-1149.
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Christine A. Brown, Jonathan Dark & Kevin Thomas Davis. (2009) Exchange Traded Contracts for Difference: Design, Pricing and Effects. SSRN Electronic Journal.
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