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A moments and strike matching binomial algorithm for pricing American Put options

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  • Benjamin Jourdain
  • Antonino Zanette

Abstract

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Suggested Citation

  • Benjamin Jourdain & Antonino Zanette, 2008. "A moments and strike matching binomial algorithm for pricing American Put options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 31(1), pages 33-49, May.
    • Handle: RePEc:spr:decfin:v:31:y:2008:i:1:p:33-49
    DOI: 10.1007/s10203-007-0077-5
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    References listed on IDEAS

    as
    1. Figlewski, Stephen & Gao, Bin, 1999. "The adaptive mesh model: a new approach to efficient option pricing," Journal of Financial Economics, Elsevier, vol. 53(3), pages 313-351, September.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    3. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Binary tree methods; Option pricing; Hedging; American Put options; G13; C63; C02; 60J20; 65C40; 91B70; 60F05;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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