Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Huang, Jing-zhi | - |
dc.contributor.author | Subrahmanyam, Marti G. | - |
dc.contributor.author | Yu, George G. | - |
dc.date.accessioned | 2008-05-30T07:14:38Z | - |
dc.date.available | 2008-05-30T07:14:38Z | - |
dc.date.issued | 1995-06-20 | - |
dc.identifier.uri | http://hdl.handle.net/2451/27132 | - |
dc.description.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. | en |
dc.language.iso | en_US | en |
dc.relation.ispartofseries | FIN-95-025 | en |
dc.title | Pricing and Hedging American Options: A Recursive Integration Method | en |
dc.type | Working Paper | en |
Appears in Collections: | Finance Working Papers |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
wpa95025.pdf | 1.18 MB | Adobe PDF | View/Open |
Items in FDA are protected by copyright, with all rights reserved, unless otherwise indicated.