On the methods of pricing American options: case study

DOI10.1007/S10479-016-2267-4MaRDI QIDQ1703539zbMATH OpenOpenAlexFDO

Authors Burcu Aydoğan, Ümit Aksoy, Ö. Uğur

Publication date 2 March 2018

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-016-2267-4

zbMATH Keywords

American optionsanalytical approximationsboundsnumerical methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Finite difference methods for boundary value problems involving PDEs (65N06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• An analysis of a least squares regression method for American option pricing
• An Introduction to Computational Finance
• Closed form spread option valuation
• scientific article; zbMATH DE number 3045283 (Why is no real title available?)
• Mathematical models of financial derivatives
• Monte Carlo valuation of American options
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• Option pricing: A simplified approach
• Pricing American Options: A Duality Approach
• Randomization and the American put
• The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Valuing American options by simulation: a simple least-squares approach

Cited in

(9)

• Fast and accurate calculation of American option prices
• Approximation of American put prices by European prices via an embedding method.
• An improvement of an analytical approximation method for American options
• New methods with capped options for pricing American options
• New insights on testing the efficiency of methods of pricing and hedging American options
• scientific article; zbMATH DE number 1069621 (Why is no real title available?)
• scientific article; zbMATH DE number 1989781 (Why is no real title available?)
• Numerical methods for American option pricing
• Analytical approximations for the critical stock prices of American options: a performance comparison

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