A moments and strike matching binomial algorithm for pricing American put options

DOI10.1007/S10203-007-0077-5MaRDI QIDQ940997zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

American put optionsbinary tree methodshedgingoption pricing

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Numerical analysis or methods applied to Markov chains (65C40) Stochastic models in economics (91B70)

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Cites work

• An efficient binomial method for pricing American options
• Approximation of American put prices by European prices via an embedding method.
• Asymptotics of the price oscillations of a European call option in a tree model
• Brownian optimal stopping and random walks
• Error estimates for the binomial approximation of American put options
• scientific article; zbMATH DE number 53999 (Why is no real title available?)
• New insights on testing the efficiency of methods of pricing and hedging American options
• Option pricing: A simplified approach
• The pricing of options and corporate liabilities
• The rate of convergence of the binomial tree scheme

Cited in

(2)

• An efficient binomial method for pricing American options
• A multi-dimensional local average lattice method for multi-asset models

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