New Methods with Capped Options for Pricing American Options
We propose two new methods: improved binomial methods and improved least square MonteCarlo methods (LSM), for pricing American options. These two methods are developed using the nice capped options which have closed-form formulas. Numerical examples are provided to verify that these two new methods...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2014/176306 |
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| _version_ | 1832564493812498432 |
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| author | Dongya Deng Cuiye Peng |
| author_facet | Dongya Deng Cuiye Peng |
| author_sort | Dongya Deng |
| collection | DOAJ |
| description | We propose two new methods: improved binomial methods and improved least square MonteCarlo methods (LSM), for pricing American options. These two methods are developed using the nice capped options which have closed-form formulas. Numerical examples are provided to verify that these two new methods are pretty efficient. |
| format | Article |
| id | doaj-art-a50fcf9da8e749579dee2e05d9b451fd |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-a50fcf9da8e749579dee2e05d9b451fd2025-02-03T01:10:57ZengWileyJournal of Applied Mathematics1110-757X1687-00422014-01-01201410.1155/2014/176306176306New Methods with Capped Options for Pricing American OptionsDongya Deng0Cuiye Peng1School of Finance, Southwestern University of Finance and Economics, Chengdu 611130, ChinaLibrary, Southwestern University of Finance and Economics, Chengdu 611130, ChinaWe propose two new methods: improved binomial methods and improved least square MonteCarlo methods (LSM), for pricing American options. These two methods are developed using the nice capped options which have closed-form formulas. Numerical examples are provided to verify that these two new methods are pretty efficient.http://dx.doi.org/10.1155/2014/176306 |
| spellingShingle | Dongya Deng Cuiye Peng New Methods with Capped Options for Pricing American Options Journal of Applied Mathematics |
| title | New Methods with Capped Options for Pricing American Options |
| title_full | New Methods with Capped Options for Pricing American Options |
| title_fullStr | New Methods with Capped Options for Pricing American Options |
| title_full_unstemmed | New Methods with Capped Options for Pricing American Options |
| title_short | New Methods with Capped Options for Pricing American Options |
| title_sort | new methods with capped options for pricing american options |
| url | http://dx.doi.org/10.1155/2014/176306 |
| work_keys_str_mv | AT dongyadeng newmethodswithcappedoptionsforpricingamericanoptions AT cuiyepeng newmethodswithcappedoptionsforpricingamericanoptions |