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: | Dongya Deng, Cuiye Peng |
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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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