New insights on testing the efficiency of methods of pricing and hedging American options

DOI10.1016/j.ejor.2006.12.051zbMath1137.91469OpenAlexW2091415608MaRDI QIDQ2456420

Marcellino Gaudenzi, Antonino Zanette, Laura Ziani, Flavio Pressacco

Publication date: 18 October 2007

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2006.12.051

zbMATH Keywords

hedgingoption pricingfinite difference methodstree methodsAmerican putsAmerican premium

Mathematics Subject Classification ID

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Cites Work

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• Multinomial Approximating Models for Options with k State Variables
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Option pricing: A simplified approach