On the analytical–numerical valuation of the Bermudan and American options
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Publication:5189715
DOI10.1080/14697680802637890zbMath1242.91195OpenAlexW2051917575MaRDI QIDQ5189715
Tamás Szántai, Prékopa, András
Publication date: 11 March 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680802637890
dynamic programmingRichardson extrapolationexponential smoothingmultivariate integrationAmerican optionBermudan option
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
On the analytical/numerical pricing of American put options against binomial tree prices ⋮ On the binomial tree method and other issues in connection with pricing Bermudan and American options ⋮ Truncation and acceleration of the Tian tree for the pricing of American put options
Cites Work
- The Pricing of Options and Corporate Liabilities
- Extrapolation of difference methods in option valuation
- Pricing American Stock Options by Linear Programming
- Probability Bounds with Cherry Trees
- Boole-Bonferroni Inequalities and Linear Programming
- Closed Form Two-Sided Bounds for Probabilities that At Least r and Exactly r Out of n Events Occur
- Probability bounds given by hypercherry trees
- Option pricing: A simplified approach
- Improved bounds and simulation procedures on the value of the multivariate normal probability distribution function
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