New methods with capped options for pricing American options

DOI10.1155/2014/176306MaRDI QIDQ2336196zbMATH OpenOpenAlexWikidataFDO

Authors Dongya Deng, Cuiye Peng

Publication date 19 November 2019

Published in Journal of Applied Mathematics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/176306

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Review text

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.

Recommendations

• An efficient binomial method for pricing American options
• A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS
• On the methods of pricing American options: case study
• FHS-GARCH-LSM: a new method for pricing American options
• Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods

Cites work

• scientific article; zbMATH DE number 1051049 (Why is no real title available?)
• Martingales and stochastic integrals in the theory of continuous trading

Cited in

(1)

• FHS-GARCH-LSM: a new method for pricing American options

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