16 search results - page 1 / 4 » Pricing American-Style Derivatives with European Call Option... |
MANSCI
2006
13 years 7 months ago
2006
We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European cal...
AMC
2005
13 years 7 months ago
2005
Financial options whose payoff depends critically on historical prices are called pathdependent options. Their prices are usually harder to calculate than options whose prices do ...
WSC
2001
13 years 8 months ago
2001
This paper presents a new approach to pricing Americanstyle derivatives. By approximating the value function with a piecewise linear interpolation function, the option holder'...
SIAMSC
2008
13 years 6 months ago
2008
Here we develop an option pricing method for European options based on the Fourier-cosine series, and call it the COS method. The key insight is in the close relation of the charac...
HPCS
2005
IEEE
14 years 29 days ago
2005
IEEE
— With the principal goal of developing an alternative, relatively simple and tractable pricing framework for accurately reproducing a market implied volatility surface, this pap...