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An efficient segmentation method to price American Put options

Author

Listed:
  • Laura Ziani

    (Università degli Studi di Udine - University of Udine [Italie])

  • Flavio Pressacco

    (Università degli Studi di Udine - University of Udine [Italie])

Abstract

A segmentation strategy to price different groups of American standard Put options with different methods is presented and discussed. The method, which exploits the properties of the odd waves of the BI adjusted evaluations introduced by Gaudenzi and Pressacco, proves to be very efficient in particular, to price critical in the money options.

Suggested Citation

  • Laura Ziani & Flavio Pressacco, 2003. "An efficient segmentation method to price American Put options," Working Papers hal-00578989, HAL.
    • Handle: RePEc:hal:wpaper:hal-00578989
    Note: View the original document on HAL open archive server: https://hal.science/hal-00578989
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