The singular points binomial method for pricing American path-dependent options

DOI10.21314/JCF.2010.214MaRDI QIDQ5411510zbMATH OpenOpenAlexFDO

Authors Marcellino Gaudenzi, Antonino Zanette, Maria Antonietta Lepellere

Publication date 23 April 2014

Published in The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.21314/jcf.2010.214

zbMATH Keywords

American optionsAsian optionslookback optionoption pricingtree methods

Mathematics Subject Classification ID

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

Recommendations

• An efficient binomial method for pricing American options
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• An improved binomial method for pricing Asian options
• An accurate binomial model for pricing American Asian option
• scientific article; zbMATH DE number 1512729

Cited in

(14)

• Pricing American barrier options with discrete dividends by binomial trees
• Number of paths versus number of basis functions in American option pricing
• Application of the singularity-separating method to American exotic option pricing
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• A bivariate model for evaluating equity-linked policies with surrender option
• scientific article; zbMATH DE number 2145170 (Why is no real title available?)
• An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting
• Exact solutions and approximations for optimal investment strategies and indifference prices
• Pricing cliquet options by tree methods
• Efficient pricing of discrete Asian options
• Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model
• Evaluating fair premiums of equity-linked policies with surrender option in a bivariate model
• Valuation of American lookback-options and the distribution of Kronecker sequences
• An accurate binomial model for pricing American Asian option

This page was built for publication: The singular points binomial method for pricing American path-dependent options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5411510)