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Pricing American options by exercise rate optimization

dc.contributor.authorBayer, Christian
dc.contributor.authorTempone, Raul
dc.contributor.authorWolfers, Sören
dc.date.accessioned2020-07-21T07:32:26Z
dc.date.available2019-01-13T09:46:22Z
dc.date.available2020-07-21T07:32:26Z
dc.date.issued2020-07-07
dc.identifier.citationBayer, C., Tempone, R., & Wolfers, S. (2020). Pricing American options by exercise rate optimization. Quantitative Finance, 1–12. doi:10.1080/14697688.2020.1750678
dc.identifier.issn1469-7696
dc.identifier.issn1469-7688
dc.identifier.doi10.1080/14697688.2020.1750678
dc.identifier.urihttp://hdl.handle.net/10754/630806
dc.description.abstractA new method for the numerical pricing of American options.
dc.description.sponsorshipThis 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.
dc.publisherInforma UK Limited
dc.relation.urlhttps://www.tandfonline.com/doi/full/10.1080/14697688.2020.1750678
dc.rightsArchived with thanks to Quantitative Finance
dc.titlePricing American options by exercise rate optimization
dc.typeArticle
dc.contributor.departmentApplied Mathematics and Computational Science Program
dc.contributor.departmentComputer, Electrical and Mathematical Sciences & Engineering Division (CEMSE), King Abdullah University of Science and Technology (KAUST), Thuwal, Saudi Arabia
dc.contributor.departmentComputer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division
dc.contributor.departmentStochastic Numerics Research Group
dc.identifier.journalQuantitative Finance
dc.eprint.versionPost-print
dc.contributor.institutionWeierstrass Institute for Applied Analysis and Stochastics (WIAS), Berlin, Germany
dc.contributor.institutionRWTH Aachen University, Aachen, Germany
dc.identifier.pages1-12
dc.identifier.arxivid1809.07300
kaust.personTempone, Raul
kaust.personWolfers, Sören
kaust.grant.numberURF/1/2584-01-01
dc.identifier.eid2-s2.0-85087738818
refterms.dateFOA2019-01-13T09:46:23Z
kaust.acknowledged.supportUnitOffice of Sponsored Research
kaust.acknowledged.supportUnitOSR
kaust.acknowledged.supportUnitSRI Center for Uncertainty Quantification in Computational Science and Engineering.
dc.date.published-online2020-07-07
dc.date.published-print2020-11-01


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

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