New Methods with Capped Options for Pricing American Options

Dongya Deng and Cuiye Peng

Journal of Applied Mathematics, 2014, vol. 2014, issue 1

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
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1155/2014/176306

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2014:y:2014:i:1:n:176306

Access Statistics for this article

More articles in Journal of Applied Mathematics from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().