Pricing American options by exercise rate optimization
Quantitative Finance, vol. 20, pp. 1749–1760
Abstract
A new method for the numerical pricing of American options
Authors 3
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Weierstrass Institute for Applied Analysis and Stochastics
Affiliation as printed
Weierstrass Institute for Applied Analysis and Stochastics (WIAS), Berlin, Germany
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Raul F. Tempone Aachen
RWTH Aachen University · King Abdullah University of Science and Technology
Affiliation as printed
Computer, Electrical and Mathematical Sciences & Engineering Division (CEMSE), King Abdullah University of Science and Technology (KAUST), Thuwal, Saudi Arabia
RWTH Aachen University, Aachen, Germany
RWTH Aachen University, Aachen, Germany ; Computer, Electrical and Mathematical Sciences & Engineering Division (CEMSE), King Abdullah University of Science and Technology (KAUST), Thuwal, Saudi Arabia
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Sören Wolfers corresponding
King Abdullah University of Science and Technology
Affiliation as printed
Computer, Electrical and Mathematical Sciences & Engineering Division (CEMSE), King Abdullah University of Science and Technology (KAUST), Thuwal, Saudi Arabia
Computer, Electrical and Mathematical Sciences and Engineering Division (CEMSE)King Abdullah University of Science and Technology (KAUST)Thuwal Saudi Arabia
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