On the analytical–numerical valuation of the Bermudan and American options

DOI10.1080/14697680802637890zbMath1242.91195OpenAlexW2051917575MaRDI QIDQ5189715

Tamás Szántai, Prékopa, András

Publication date: 11 March 2010

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

Full work available at URL: https://doi.org/10.1080/14697680802637890

zbMATH Keywords

dynamic programmingRichardson extrapolationexponential smoothingmultivariate integrationAmerican optionBermudan option

Mathematics Subject Classification ID

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

Related Items (3)

On the analytical/numerical pricing of American put options against binomial tree prices ⋮ On the binomial tree method and other issues in connection with pricing Bermudan and American options ⋮ Truncation and acceleration of the Tian tree for the pricing of American put options

Cites Work

• The Pricing of Options and Corporate Liabilities
• Extrapolation of difference methods in option valuation
• Pricing American Stock Options by Linear Programming
• Probability Bounds with Cherry Trees
• Boole-Bonferroni Inequalities and Linear Programming
• Closed Form Two-Sided Bounds for Probabilities that At Least r and Exactly r Out of n Events Occur
• Probability bounds given by hypercherry trees
• Option pricing: A simplified approach
• Improved bounds and simulation procedures on the value of the multivariate normal probability distribution function

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