A new method of valuing American options based on Brownian models

DOI10.1080/03610926.2020.1725053OpenAlexW3004981561MaRDI QIDQ5079101FDOQ5079101

Authors:

Publication date: 25 May 2022

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1725053

zbMATH Keywords

American optionoptimal stopping problemvaluation

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• Optimal buying at the global minimum in a regime switching model
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• A recursive algorithm for selling at the ultimate maximum in regime-switching models
• Selling at the ultimate maximum in a regime-switching model
• Valuing American options by simulation: a BSDEs approach

Cited In (3)

• Pricing American options under Azzalini Ito-McKean skew Brownian motions
• Optimal stopping with signatures
• A NUMERICAL METHOD TO COMPUTE THE VOLATILITY OF THE FRACTIONAL BROWNIAN MOTION IMPLIED BY AMERICAN OPTIONS

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