New methods with capped options for pricing American options (Q2336196)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | New methods with capped options for pricing American options |
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New methods with capped options for pricing American options (English)
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19 November 2019
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Summary: We propose two new methods: improved binomial methods and improved least square Monte Carlo methods (LSM), for pricing American options. These two methods are developed using the nice capped options which have closed-form formulas. Numerical examples are provided to verify that these two new methods are pretty efficient.
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