Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
482114 | European Journal of Operational Research | 2008 | 20 Pages |
Abstract
With reference to the evaluation of the speed–precision efficiency of pricing and hedging of American Put options, we present and discuss numerical results obtained on the basis of four different large enough random samples according to the relevance of the American quality (relative importance of the early exercise opportunity) of the options. Here we provide a comparison of the best methods (lattice based numerical methods and an approximation of the American Premium analytical procedure) known in literature along with some key methodological remarks.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Flavio Pressacco, Marcellino Gaudenzi, Antonino Zanette, Laura Ziani,