ON VARIOUS QUANTITATIVE APPROACHES FOR PRICING AMERICAN OPTIONS

Song-Ping Zhu ()
Additional contact information
Song-Ping Zhu: School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, NSW 2522, Australia

New Mathematics and Natural Computation (NMNC), 2011, vol. 07, issue 02, 313-332

Abstract: In this paper, a comprehensive review of the valuation of American options is presented. Various approaches to pricing American option contracts are discussed, with the pros and cons of each being briefly outlined. The paper aims to provide a literature review for those who are interested in this very fundamental research, that provides a basis for pricing any American-style derivatives.

Keywords: American options; free boundary problems; Quantitative valuation approaches (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S1793005711001950
Access to full text is restricted to subscribers

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:wsi:nmncxx:v:07:y:2011:i:02:n:s1793005711001950

Ordering information: This journal article can be ordered from

DOI: 10.1142/S1793005711001950

Access Statistics for this article

New Mathematics and Natural Computation (NMNC) is currently edited by Paul P Wang

More articles in New Mathematics and Natural Computation (NMNC) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().