New insights on testing the efficiency of methods of pricing and hedging American options

被引：5

作者：

Pressacco, Flavio ^{[1
]}

Gaudenzi, Marcellino ^{[1
]}

Zanette, Antonino ^{[1
]}

Ziani, Laura ^{[1
]}

机构：

[1] Univ Udine, Dipartimento Finanza Impresa & Mercati Finanziari, I-33100 Udine, Italy

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2008年 / 185卷 / 01期

关键词：

option pricing; hedging; American puts; tree methods; finite difference methods; American premium;

D O I：

10.1016/j.ejor.2006.12.051

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

With reference to the evaluation of the speed-precision efficiency of pricing and hedging of American Put options, we present and discuss numerical results obtained on the basis of four different large enough random samples according to the relevance of the American quality (relative importance of the early exercise opportunity) of the options. Here we provide a comparison of the best methods (lattice based numerical methods and an approximation of the American Premium analytical procedure) known in literature along with some key methodological remarks. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：235 / 254

页数：20

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