A two-step simulation procedure to analyze the exercise features of American options

Author:

Basso Antonella,Nardon Martina,Pianca Paolo

Publisher

Springer Science and Business Media LLC

Subject

General Economics, Econometrics and Finance,Finance

Reference34 articles.

1. 1. AitShalia, F., Lai, T.L. (1999): A canonical optimal stopping problem for American options and its numerical solution. The Journal of Computational Finance 3(2), 33–52

2. 2. AitShalia, F., Lai, T.L. (2001): Exercise boundaries and efficient approximations to American option prices and hedge parameters. The Journal of Computational Finance 4(4), 85–103

3. 3. Allegretto, W., Barone-Adesi, G., Elliott, R.J. (1995): Numerical evaluation of the critical price and American options. The European Journal of Finance 1, 69–78

4. 4. Barraquand, J., Martineau, D. (1995): Numerical valuation of high dimensional multivariate American securities. Journal of Financial and Quantitative Analysis 30, 383–405

5. 5. Basso, A., Nardon, M., Pianca, P. (2002a): Discrete and continuous time approximations of the optimal exercise boundary of American options. Quaderni 105/02. Dipartimento di Matematica Applicata, Università “Ca' Foscari” di Venezia

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