Approximating the exact value of an american option
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Publication:3565331
zbMATH Open1188.60037MaRDI QIDQ3565331FDOQ3565331
Authors: Stefano Herzel 
Publication date: 3 June 2010
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24)
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- Estimate for the discrete time hedging error of the American option on a dividend-paying stock
- On the American Option Value Near its Exercise Region
- Approximations for the values of american options
- Discrete time hedging of the American option
- Discrete approximation of finite-horizon American-style options
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