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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27132
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| Title: | Pricing and Hedging American Options: A Recursive Integration Method |
| Authors: | Huang, Jing-zhi
Subrahmanyam, Marti G.
Yu, George G. |
| Issue Date: | 20-Jun-1995 |
| Series/Report no.: | FIN-95-025 |
| Abstract: | In this paper, we present a new method for pricing and hedging American
options along with an efficient implementation procedure. The proposed
method is efficient and accurate in computing both option values and
various option hedge parameters. We demonstrate the computation accuracy
and efficiency of this numerical procedure in relation to other
competing approaches. We also show how the method can be applied to the
case of any American option for which a closed-form solution exists for
the corresponding European option. |
| URI: | http://hdl.handle.net/2451/27132 |
| Appears in Collections: | Finance Working Papers
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