New Methods with Capped Options for Pricing American Options
Joint Authors
Source
Journal of Applied Mathematics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-04-27
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
We propose two new methods: improved binomial methods and improved least square MonteCarlo methods (LSM), for pricing American options.
These two methods are developed using the nice capped options which have closed-form formulas.
Numerical examples are provided to verify that these two new methods are pretty efficient.
American Psychological Association (APA)
Deng, Dongya& Peng, Cuiye. 2014. New Methods with Capped Options for Pricing American Options. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-452031
Modern Language Association (MLA)
Deng, Dongya& Peng, Cuiye. New Methods with Capped Options for Pricing American Options. Journal of Applied Mathematics No. 2014 (2014), pp.1-7.
https://search.emarefa.net/detail/BIM-452031
American Medical Association (AMA)
Deng, Dongya& Peng, Cuiye. New Methods with Capped Options for Pricing American Options. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-452031
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-452031
