A moments and strike matching binomial algorithm for pricing American put options
DOI10.1007/S10203-007-0077-5zbMATH Open1143.91019OpenAlexW1983945055MaRDI QIDQ940997FDOQ940997
Authors: Benjamin Jourdain, Antonino Zanette 
Publication date: 4 September 2008
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00070437/file/RR-5569.pdf
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Cites Work
- The pricing of options and corporate liabilities
- Asymptotics of the price oscillations of a European call option in a tree model
- Option pricing: A simplified approach
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- New insights on testing the efficiency of methods of pricing and hedging American options
- Brownian optimal stopping and random walks
- Error estimates for the binomial approximation of American put options
- The rate of convergence of the binomial tree scheme
- An efficient binomial method for pricing American options
- Approximation of American put prices by European prices via an embedding method.
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