The Excel method of American put option pricing based on the control variable technique

DOI10.3969/J.ISSN.1003-2483.2012.03.01zbMATH Open1289.91168MaRDI QIDQ2859693FDOQ2859693

Authors: Linghui Jin, Lisha Guo, Junhao Hu 

Publication date: 19 November 2013

Published in: Journal of Southwest University for Nationalities. Natural Science Edition (Search for Journal in Brave)

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zbMATH Keywords

binomial modelAmerican put optioncontrol variate technique\texttt{Excel} method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Uses Software

• Excel

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