An improved method for pricing and hedging long dated American options

DOI10.1016/j.ejor.2016.04.002zbMath1346.91231OpenAlexW2324090688MaRDI QIDQ323396

Tommaso Paletta, Silvia Stanescu, Frank J. Fabozzi, Radu S. Tunaru

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://sro.sussex.ac.uk/id/eprint/89689/1/__smbhome.uscs.susx.ac.uk_tjk30_Documents_paper_Feb16-RR.pdf

zbMATH Keywords

American optionsdelta-hedgingLEAPSoptimal exercise pricequasi-analytic method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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