ON VARIOUS QUANTITATIVE APPROACHES FOR PRICING AMERICAN OPTIONS

In this paper, a comprehensive review of the valuation of American options is presented. Various approaches to pricing American option contracts are discussed, with the pros and cons of each being briefly outlined. The paper aims to provide a literature review for those who are interested in this very fundamental research, that provides a basis for pricing any American-style derivatives.

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Year of publication:	2011
Authors:	ZHU, SONG-PING
Published in:	New Mathematics and Natural Computation (NMNC). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-7027. - Vol. 07.2011, 02, p. 313-332
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	American options \| free boundary problems \| Quantitative valuation approaches

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009131025