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An efficient binomial method for pricing�American options

✍ Scribed by Gaudenzi, Marcellino ;Pressacco, Flavio

Publisher
Springer
Year
2003
Weight
258 KB
Volume
26
Category
Article
ISSN
1127-1035

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An efficient approximation method for American exotic options
✍ Geunhyuk Chang; Jangkoo Kang; Hwa-Sung Kim; In Joon Kim 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 239 KB

## Abstract The authors suggest a modified quadratic approximation scheme, and apply this scheme to American barrier (knock‐out) and floating‐strike lookback options. This modified scheme introduces an additional parameter into the quadratic approximation method, originally suggested by G. Barone‐A