Pricing American options by exercise rate optimization

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Article
Authors
Bayer, Christian
Tempone, Raul cc
Wolfers, Sören cc
KAUST Department
Applied Mathematics and Computational Science Program
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 (CEMSE) Division
Stochastic Numerics Research Group
KAUST Grant Number
URF/1/2584-01-01
Date
2020-07-07
Online Publication Date
2020-07-07
Print Publication Date
2020-11-01
Permanent link to this record
http://hdl.handle.net/10754/630806

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Abstract
A new method for the numerical pricing of American options.
Citation
Bayer, C., Tempone, R., & Wolfers, S. (2020). Pricing American options by exercise rate optimization. Quantitative Finance, 1–12. doi:10.1080/14697688.2020.1750678
Sponsors
This work was supported by the King Abdullah University of Science and Technology (KAUST) Office of Sponsored Research (OSR, award URF/1/2584-01-01), the German Research Foundation (DFG, grant BA5484/1) and the Alexander von Humboldt Foundation. R. Tempone and S. Wolfers are members of the KAUST SRI Center for Uncertainty Quantification in Computational Science and Engineering.
Publisher
Informa UK Limited
Journal
Quantitative Finance
DOI
10.1080/14697688.2020.1750678
arXiv
1809.07300
Additional Links
https://www.tandfonline.com/doi/full/10.1080/14697688.2020.1750678
Collections
Preprints; Applied Mathematics and Computational Science Program; Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division

Version History

VersionItemEditorDateSummary
210754/630806*Hina Iftikhar2020-07-21T07:21:55ZPublished in journal
110754/630806.1Daryl Grenz2019-01-13T09:46:22Z

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