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

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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)

Cites Work

• Optimal Stopping and the American Put
• Title not available (Why is that?)
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• The pricing of the American option
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Randomization and the American Put
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• On optimal stopping and free boundary problems
• The valuation of American barrier options using the decomposition technique
• Pricing American-style securities using simulation
• American options: symmetry properties
• Monte Carlo methods for security pricing
• A two-step simulation procedure to analyze the exercise features of American options

Cited In (3)

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

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