Fast and accurate valuation of American barrier options

Farid AitSahlia, Lorens Imhof and Tze Leung Lai

Journal of Computational Finance

Abstract: ABSTRACT This article develops two fast and accurate methods to compute boun daries, prices and hedge parameters of American barrier options. An extensive numerical study that compares these approximations with benchmark values and other methods shows that they are highly accurate and improve the currently available approximations in both speed and accuracy.

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Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ0:2160511

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