On the analytical/numerical pricing of American put options against binomial tree prices

DOI10.1080/14697688.2011.649602zbMath1242.91203OpenAlexW2047490089MaRDI QIDQ2893069

Mark S. Joshi, Mike Staunton

Publication date: 25 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.649602

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

On the binomial tree method and other issues in connection with pricing Bermudan and American options

Cites Work

• Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
• Pricing the American put option: A detailed convergence analysis for binomial models
• Error estimates for the binomial approximation of American put options
• The rate of convergence of the binomial tree scheme
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• Binomial models for option valuation - examining and improving convergence
• Asymptotics of the price oscillations of a European call option in a tree model
• On the analytical–numerical valuation of the Bermudan and American options
• Randomization and the American Put
• Option pricing: A simplified approach

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