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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Burkovska, O.; Gaß, M.; Glau,K.; Mahlstedt, M.; Schoutens, W.; Wohlmuth, B. 
Titel:
Calibration to American Options: Numerical Investigation of the de-Americanization 
Abstract:
American options are the reference instruments for the model calibration of a large and important class of single stocks. For this task, a fast and accurate pricing algorithm is indispensable. The literature mainly discusses pricing methods for American options that are based on Monte Carlo, tree and partial differential equation methods. We present an alternative approach that has become popular under the name de-Americanization in the financial industry. The method is easy to implement and enj...    »
 
Stichworte:
American options, calibration, binomial tree model, CEV model, Heston model, L'evy models, model reduction, variational inequalities 
Zeitschriftentitel:
Working Paper 
Jahr:
2016 
Sprache:
en 
Status:
Preprint / submitted 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik