An Interpolation-Based Approach to American Put Option Pricing

DOI10.1007/978-3-319-46310-0_10zbMath1364.91149OpenAlexW2580775825MaRDI QIDQ5268909

Greg Orosi

Publication date: 21 June 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-46310-0_10

zbMATH Keywords

American optionarbitrage-free conditionsput option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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