A two-step simulation procedure to analyze the exercise features of American options

DOI10.1007/S10203-004-0045-2zbMATH Open1091.91031OpenAlexW2070442709MaRDI QIDQ1762863FDOQ1762863

Authors Antonella Basso, Martina Nardon, P. Pianca

Publication date 11 February 2005

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-004-0045-2

zbMATH Keywords

stopping rulesmoothed binomial method

Mathematics Subject Classification ID

Diffusion processes (60J60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• A two-step simulation procedure to analyze the exercise features of American options
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• American options: symmetry properties
• Monte Carlo methods for security pricing
• On optimal stopping and free boundary problems
• Optimal Stopping and the American Put
• Pricing American-style securities using simulation
• Randomization and the American put
• The pricing of the American option
• The valuation of American barrier options using the decomposition technique
• 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

(3)

• A multinomial tree model for pricing credit default swap options
• A two-step simulation procedure to analyze the exercise features of American options
• A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS

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