An efficient segmentation method to price American Put options

Laura Ziani () and Flavio Pressacco ()
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Laura Ziani: Università degli Studi di Udine - University of Udine [Italie]
Flavio Pressacco: Università degli Studi di Udine - University of Udine [Italie]

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Abstract: A segmentation strategy to price different groups of American standard Put options with different methods is presented and discussed. The method, which exploits the properties of the odd waves of the BI adjusted evaluations introduced by Gaudenzi and Pressacco, proves to be very efficient in particular, to price critical in the money options.

Keywords: American put plain vanilla options; tree evaluation methods; American quality; segmentation (search for similar items in EconPapers)
Date: 2003-03-28
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