The valuation of American barrier options using the decomposition technique

DOI10.1016/S0165-1889(99)00093-7zbMath1032.91064OpenAlexW3123612873WikidataQ127813721 ScholiaQ127813721MaRDI QIDQ1583156

R. Smith

Publication date: 26 October 2000

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(99)00093-7

zbMATH Keywords

asset pricingderivativesAmerican option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• On optimal stopping and free boundary problems
• Fast accurate binomial pricing
• Analytical Valuation of American-Style Asian Options
• A Reduction Method Applicable to Compound Option Formulas
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• The Valuation of American Options on Multiple Assets
• Randomization and the American Put

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