An efficient binomial method for pricing¶American options

被引：2
|
作者：
Marcellino Gaudenzi
Flavio Pressacco
机构：
[1] Dipartimento di Finanza dell'Impresa e dei Mercati Finanziari,
[2] University of Udine¶e-mail: gaudenzi@uniud.it; Flavio.Pressacco@dfimf.uniud.it,undefined
来源：
Decisions in Economics and Finance | 2003年 / 26卷 / 1期
关键词：
Mathematics Subject Classification (2000): 91B28; Journal of Economic Literature Classification: C63;
D O I：
10.1007/s102030300000
中图分类号：
学科分类号：
摘要：
We present a new method for obtaining fast and accurate estimates of the price of an American put option by binomial trees. The method is based on the interpolation of suitable values obtained by modifying the contractual strike. A time-saving procedure allows us to derive all the interpolating data from a unique standard backward procedure.
引用
收藏
页码：1 / 17
页数：16
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