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dc.contributor.authorHuang, Jing-zhi-
dc.contributor.authorSubrahmanyam, Marti G.-
dc.contributor.authorYu, George G.-
dc.date.accessioned2008-05-30T07:14:38Z-
dc.date.available2008-05-30T07:14:38Z-
dc.date.issued1995-06-20-
dc.identifier.urihttp://hdl.handle.net/2451/27132-
dc.description.abstractIn 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.isoen_USen
dc.relation.ispartofseriesFIN-95-025en
dc.titlePricing and Hedging American Options: A Recursive Integration Methoden
dc.typeWorking Paperen
Appears in Collections:Finance Working Papers

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