Affiliation:
1. School of Mathematics and Applied Statistics, University of Wollongong, Wollongong, NSW 2522, Australia
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.
Publisher
World Scientific Pub Co Pte Lt
Subject
Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Computer Science Applications,Human-Computer Interaction
Cited by
5 articles.
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