Pricing American-Style Derivatives with European Call Options
From MaRDI portal
Publication:3115958
DOI10.1287/mnsc.1050.0447zbMath1232.91669MaRDI QIDQ3115958
Michael C. Fu, Andrew E. B. Lim, Huiju Zhang, Scott B. Laprise, Steven I. Marcus
Publication date: 21 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/fe3be18911d284843f95108f6191065bc327018e
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS, A new method for generating approximation algorithms for financial mathematics applications, An improved method for pricing and hedging long dated American options, Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity