Guo, Ivan; Langrené, Nicolas; Wu, Jiahao - 2023
In this paper, we introduce two methods to solve the American-style option pricing problem and its dual form at the … simultaneously compute both the lower and upper bounds of the option price, and the second one accomplishes the same goal with one … provided numerical experiments. As a by-product, these methods also derive a hedging strategy for the option, which can also be …