Efficient computation of option price sensitivities for options of American style
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References listed on IDEAS
- Barone-Adesi, Giovanni & Whaley, Robert E, 1987. "Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
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- Michael, Fredrick, 2020. "Black–Scholes like closed form formulas and numerical solutions for American style options," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
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- Pier Giuseppe Giribone & Simone Ligato, 2016. "Flexible-forward pricing through Leisen–Reimer trees: Implementation and performance comparison with traditional Markov chains," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(02), pages 1-21, June.
- Boenkost, Wolfram & Schmidt, Wolfgang M., 2006. "Interest rate convexity and the volatility smile," CPQF Working Paper Series 4, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
- Böing, Philipp & Müller, Elisabeth, 2012. "Technological Capabilities of Chinese Enterprises: Who is Going to Compete Abroad?," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62081, Verein für Socialpolitik / German Economic Association.
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More about this item
Keywords
American options; Greeks; Leisen-Reimer trees;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- F31 - International Economics - - International Finance - - - Foreign Exchange
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