Calibration to American options: numerical investigation of the de-Americanization method

DOI10.1080/14697688.2017.1417622zbMath1400.91581arXiv1611.06181OpenAlexW2555603589WikidataQ55666903 ScholiaQ55666903MaRDI QIDQ4554482

Maximilian Gaß, Mirco Mahlstedt, O. Burkovska, Kathrin Glau, Wim Schoutens, Barbara I. Wohlmuth

Publication date: 14 November 2018

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

Full work available at URL: https://arxiv.org/abs/1611.06181

zbMATH Keywords

variational inequalitiesAmerican optionsmodel reductionmodel calibrationLévy modelsHeston modelCEV modelbinomial tree model

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

On a Neural Network to Extract Implied Information from American Options

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