A two-step simulation procedure to analyze the exercise features of American options
type: Item
instance of: scholarly article
title: A two-step simulation procedure to analyze the exercise features of American options
zbMATH Open document ID: 1091.91031
author: Antonella Basso
author: Martina Nardon
author: P. Pianca
published in: Decisions in Economics and Finance
publication date: 2005-02-11T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 65C20
zbMATH DE Number: 2133621
zbMATH Keywords: smoothed binomial method
zbMATH Keywords: stopping rule
MaRDI profile type: Publication
full work available at URL: s10203-004-0045-2
OpenAlex ID: W2070442709
cites work: Monte Carlo methods for security pricing
cites work: Pricing American-style securities using simulation
cites work: Randomization and the American Put
cites work: ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
cites work: Valuation of the early-exercise price for options using simulations and nonparametric regression
cites work: American options: symmetry properties
cites work: The valuation of American barrier options using the decomposition technique
cites work: Optimal Stopping and the American Put
cites work: Q4368791
cites work: Valuing American Options by Simulation: A Simple Least-Squares Approach
cites work: The pricing of the American option
cites work: On optimal stopping and free boundary problems
DOI: 10.1007/S10203-004-0045-2
Recommended article: Q3562693
Recommended article: Valuing American Options by Simulation: A Simple Least-Squares Approach
Recommended article: Pricing and hedging American-style options: a simple simulation-based approach
Recommended article: An iterative two step algorithm for American options pricing
Recommended article: Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options
Recommended article: An iterative two-step algorithm for American option pricing
Recommended article: Valuing American options by simulation: a BSDEs approach
Recommended article: Q4461062
Recommended article: Evaluating approximations to the optimal exercise boundary for American options
description: scientific article; zbMATH DE number 2133621