Truncation and acceleration of the Tian tree for the pricing of American put options

DOI10.1080/14697688.2011.617776zbMath1279.91181OpenAlexW3125159664MaRDI QIDQ5745638

Mark S. Joshi, Ting Chen

Publication date: 30 January 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2011.617776

zbMATH Keywords

American optionstreesderivatives pricingtruncations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Pricing the American put option: A detailed convergence analysis for binomial models
• Error estimates for the binomial approximation of American put options
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• Binomial models for option valuation - examining and improving convergence
• On the analytical–numerical valuation of the Bermudan and American options
• Option pricing: A simplified approach
• An exact and explicit solution for the valuation of American put options

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