Empirical pricing American put options

zbMATH Open1239.91163MaRDI QIDQ2888935FDOQ2888935

Authors: László Györfi, Andras Telcs 

Publication date: 4 June 2012

Full work available at URL: http://ebooks.worldscinet.com/ISBN/9781848168145/9781848168145_0006.html

Recommendations

• On the pricing of American options
• Analytical pricing of American options
• Pricing American options by exercise rate optimization
• The pricing of the American option
• scientific article; zbMATH DE number 5172395
• American option pricing under stochastic volatility: an empirical evaluation
• scientific article; zbMATH DE number 1279074
• Pricing and exercising American options: an asymptotic expansion approach
• Empirical option pricing: A retrospection

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

Cited In (3)

• American put options with a finite set of exercisable time epochs
• Empirical option pricing: A retrospection
• American options: the EPV pricing model

This page was built for publication: Empirical pricing American put options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2888935)