An iterative two-step algorithm for American option pricing (Q2704186)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An iterative two-step algorithm for American option pricing |
scientific article |
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26 October 2002
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American options
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algorithm
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An iterative two-step algorithm for American option pricing (English)
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This paper presents an application of \textit{M. Kočvara} and \textit{J. Zowe} algorithm [Numer. Math. 68, 95-106 (1994; Zbl 0820.65033)], to the problem of calculating the price of an American option.
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