An Approximation of an Equivalent European Payoff for the American Put Option


We develop a numerical procedure, in the Black-Scholes model, to approximate the payoff of a European type option generating prices that are equal to the prices of the American put option in the continuation region. This... [ view full abstract ]


  1. Ciprian Necula (University of Zurich)

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

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