New Methods with Capped Options for Pricing American Options

Dongya Deng and Cuiye Peng

Journal of Applied Mathematics, 2014, vol. 2014, 1-7

Abstract:

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.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljam:176306

DOI: 10.1155/2014/176306

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