Cargando…
Calibration to American options: numerical investigation of the de-Americanization method
American options are the reference instruments for the model calibration of a large and important class of single stocks. For this task, a fast and accurate pricing algorithm is indispensable. The literature mainly discusses pricing methods for American options that are based on Monte Carlo, tree an...
| Autores principales: | , , , , , |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Routledge
2018
|
| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6034575/ https://www.ncbi.nlm.nih.gov/pubmed/30022892 http://dx.doi.org/10.1080/14697688.2017.1417622 |