A two-step simulation procedure to analyze the exercise features of American options

DOI10.1007/s10203-004-0045-2zbMath1091.91031OpenAlexW2070442709MaRDI QIDQ1762863

Antonella Basso, Paolo Pianca, Martina Nardon

Publication date: 11 February 2005

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-004-0045-2

zbMATH Keywords

stopping rulesmoothed binomial method

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (3)

A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS ⋮ A two-step simulation procedure to analyze the exercise features of American options ⋮ A multinomial tree model for pricing credit default swap options

Cites Work

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• The pricing of the American option
• On optimal stopping and free boundary problems
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Pricing American-style securities using simulation
• The valuation of American barrier options using the decomposition technique
• A two-step simulation procedure to analyze the exercise features of American options
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Randomization and the American Put

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