An efficient segmentation method to price American Put options

A segmentation strategy to price different groups of American standard Put options with different methods is presented and discussed. The method, which exploits the properties of the odd waves of the BI adjusted evaluations introduced by Gaudenzi and Pressacco, proves to be very efficient in particular, to price critical in the money options.

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Year of publication:	2003-03-28
Authors:	Ziani, Laura ; Pressacco, Flavio
Institutions:	HAL
Subject:	American put plain vanilla options \| tree evaluation methods \| American quality \| segmentation

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00578989/en/
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008876660