An improved method for pricing and hedging long dated American options
FJ Fabozzi, T Paletta, S Stanescu, R Tunaru - European Journal of …, 2016 - Elsevier
The majority of quasi-analytic pricing methods for American options are efficient near
maturity but are prone to larger errors when time-to-maturity increases. We introduce a new …
maturity but are prone to larger errors when time-to-maturity increases. We introduce a new …
A generalization of the recursive integration method for the analytic valuation of American options
LF Chang, JH Guo, MW Hung - Journal of Futures Markets, 2016 - Wiley Online Library
This article provides a general accelerated recursive integration method for pricing
American options based on stochastic volatility and double jump processes. Our proposed …
American options based on stochastic volatility and double jump processes. Our proposed …
An efficient grid lattice algorithm for pricing American-style options
Z Liu, T Pang - International Journal of Financial Markets …, 2016 - inderscienceonline.com
Option pricing is an important area of research in the finance community. In this paper, we
develop a computationally feasible and efficient lattice algorithm in pricing American-style …
develop a computationally feasible and efficient lattice algorithm in pricing American-style …
Enhancing the Computational Efficiency for the Monte-Carlo Simulation Approach
強化蒙地卡羅模擬法之計算效率 - airitilibrary.com
Before 1993, there were only few papers using the Monte Carlo simulation approach to
value American options. Since then, a number of articles developed alternative …
value American options. Since then, a number of articles developed alternative …