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New Bounds on American Option Prices
Language: en
Pages: 35
Authors: In Joon Kim
Categories:
Type: BOOK - Published: 2007 - Publisher:

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In this article, we develop new upper and lower bounds on American option prices which improve the bounds by Broadie and Detemple. The main idea is the consider
American Option Valuation
Language: en
Pages:
Authors: Jerome Detemple
Categories:
Type: BOOK - Published: 2011 - Publisher:

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We develop lower and upper bounds on the prices of American call and put options written on a dividend paying asset. We provide two option price approximations,
American-Type Options
Language: en
Pages: 520
Authors: Dmitrii S. Silvestrov
Categories: Mathematics
Type: BOOK - Published: 2013-11-27 - Publisher: Walter de Gruyter

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The book gives a systematical presentation of stochastic approximation methods for models of American-type options with general pay-off functions for discrete t
The Derivatives Sourcebook
Language: en
Pages: 225
Authors: Terence Lim
Categories: Business & Economics
Type: BOOK - Published: 2006 - Publisher: Now Publishers Inc

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The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation
Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)
Language: en
Pages: 5053
Authors: Cheng Few Lee
Categories: Business & Economics
Type: BOOK - Published: 2020-07-30 - Publisher: World Scientific

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This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econo