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
下载
收藏
页码：1 / 17
页数：16
相关论文
共 50 条
  • [31] Binomial lattice for pricing Asian options on yields
    Yang, DS
    JOURNAL OF CENTRAL SOUTH UNIVERSITY OF TECHNOLOGY, 2003, 10 (01): : 78 - 80
  • [32] ON THE PRICING OF AMERICAN OPTIONS
    KARATZAS, I
    APPLIED MATHEMATICS AND OPTIMIZATION, 1988, 17 (01): : 37 - 60
  • [33] Revisit of stochastic mesh method for pricing American options
    Liu, Guangwu
    Hong, L. Jeff
    OPERATIONS RESEARCH LETTERS, 2009, 37 (06) : 411 - 414
  • [34] Pricing and hedging American options: A recursive integration method
    Huang, JZ
    Subrahmanyam, MG
    Yu, GG
    REVIEW OF FINANCIAL STUDIES, 1996, 9 (01): : 277 - 300
  • [35] An inverse finite element method for pricing American options
    Zhu, Song-Ping
    Chen, Wen-Ting
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2013, 37 (01): : 231 - 250
  • [36] Pricing American bond options using a penalty method
    Zhang, Kai
    Wang, Song
    AUTOMATICA, 2012, 48 (03) : 472 - 479
  • [37] Projection and Contraction Method for Pricing American Bond Options
    Zhang, Qi
    Wang, Qi
    Zuo, Ping
    Du, Hongbo
    Wu, Fangfang
    MATHEMATICS, 2023, 11 (22)
  • [38] REVISIT OF STOCHASTIC MESH METHOD FOR PRICING AMERICAN OPTIONS
    Liu, Guangwu
    Hong, L. Jeff
    2008 WINTER SIMULATION CONFERENCE, VOLS 1-5, 2008, : 594 - 601
  • [39] PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD
    Zhang, Jin E.
    Li, Tiecheng
    MATHEMATICAL FINANCE, 2010, 20 (01) : 59 - 87
  • [40] A Forward Monte Carlo Method for American Options Pricing
    Miao, Daniel Wei-Chung
    Lee, Yung-Hsin
    JOURNAL OF FUTURES MARKETS, 2013, 33 (04) : 369 - 395
12345