American Options by Perturbing Closed Form Solutions

Abstract

The pricing and hedging of American options generally requires the numerical solution of optimal stopping problems.  This paper reveals analytical solutions for a class of optimal stopping problems, specifically maximising... [ view full abstract ]

Authors

  1. Andrew Smith (University College Dublin)

Topic Area

Options

Session

MO-P-B2 » Option Pricing (14:30 - Monday, 16th July, Beckett 2)

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