On Pricing American Put Option on a Fixed Term: A Monte Carlo Approach

DOI10.1142/S2424922X20500102OpenAlexW3109331724MaRDI QIDQ5066681

Perpetual Andam Boiquaye

Publication date: 29 March 2022

Published in: Advances in Data Science and Adaptive Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s2424922x20500102

zbMATH Keywords

Monte Carlo methodAmerican optionmean reverting

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Stochastic calculus for finance. II: Continuous-time models.
• Closed form spread option valuation
• Arbitrage Theory in Continuous Time
• A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
• Stochastic differential equations. An introduction with applications.

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