On the binomial tree method and other issues in connection with pricing Bermudan and American options

DOI10.1080/14697688.2011.649605zbMath1241.91132OpenAlexW2019125779MaRDI QIDQ2893070

Tamás Szántai, Prékopa, András

Publication date: 25 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.649605

zbMATH Keywords

dynamic programmingRichardson extrapolationexponential smoothingmultivariate integrationAmerican optionbermudan option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

An efficient finite element method for pricing American multi-asset put options

Cites Work

• On the analytical/numerical pricing of American put options against binomial tree prices
• Bounds on the Expectation of a Convex Function of a Multivariate Random Variable
• On the analytical–numerical valuation of the Bermudan and American options
• Randomization and the American Put

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