On the methods of pricing American options: case study
From MaRDI portal
Publication:1703539
DOI10.1007/s10479-016-2267-4zbMath1404.91266OpenAlexW2470202836MaRDI QIDQ1703539
Ümit Aksoy, Ömür Uğur, Burcu Aydoğan
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
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06)
Related Items (1)
Cites Work
- Unnamed Item
- Mathematical models of financial derivatives
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- An analysis of a least squares regression method for American option pricing
- An Introduction to Computational Finance
- Pricing American Options: A Duality Approach
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Monte Carlo valuation of American options
- Closed form spread option valuation
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Randomization and the American Put
- Option pricing: A simplified approach
- The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
This page was built for publication: On the methods of pricing American options: case study
