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

DOI10.3969/J.ISSN.1003-2483.2012.03.01MaRDI QIDQ2859693zbMATH OpenFDO

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)

Full work available at URL https://doi.org/10.3969/J.ISSN.1003-2483.2012.03.01

zbMATH Keywords

\texttt{Excel} methodAmerican put optionbinomial modelcontrol variate technique

Mathematics Subject Classification ID

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

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Describes a project that uses

Uses Software

• Excel

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