An iterative two-step algorithm for American option pricing

MaRDI QIDQ2704186zbMATH OpenFDO

Authors P. Manchanda, Michal Kočvara, A. H. Siddiqi

Publication date 26 October 2002

Published in IMA Journal of Mathematics Applied in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

algorithmAmerican options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Review text

This paper presents an application of \textit{M. Kočvara} and \textit{J. Zowe} algorithm [Numer. Math. 68, 95-106 (1994; Zbl 0820.65033)], to the problem of calculating the price of an American option.

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