Randomized binomial tree and pricing of American-style options

DOI10.1155/2014/291737zbMath1407.91276OpenAlexW2079698538WikidataQ59065512 ScholiaQ59065512MaRDI QIDQ1718063

Hu Xiaoping, Cao Jie

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/291737

Mathematics Subject Classification ID

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

Related Items (2)

Nonparametric predictive inference for American option pricing based on the binomial tree model ⋮ Assessing the option to abandon an investment project by the binomial options pricing model

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