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Multilevel dual approach for pricing American style derivatives

✍ Scribed by Denis Belomestny, John Schoenmakers, Fabian Dickmann

Book ID
120922134
Publisher
Springer-Verlag
Year
2013
Tongue
English
Weight
857 KB
Volume
17
Category
Article
ISSN
0949-2984

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✍ Chuang-Chang Chang; San-Lin Chung; Richard C. Stapleton πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 380 KB

## Abstract In this article, the authors reexamine the American‐style option pricing formula of R. Geske and H.E. Johnson (1984), and extend the analysis by deriving a modified formula that can overcome the possibility of nonuniform convergence (which is likely to occur for nonstandard American opt