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Title:

Calibration to American Options: Numerical Investigation of the de-Americanization

Document type:
Zeitschriftenaufsatz
Author(s):
Burkovska, O.; Gaß, M.; Glau,K.; Mahlstedt, M.; Schoutens, W.; Wohlmuth, B.
Non-TUM Co-author(s):
ja
Cooperation:
international
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...     »
Keywords:
American options, calibration, binomial tree model, CEV model, Heston model, L'evy models, model reduction, variational inequalities
Intellectual Contribution:
Discipline-based Research
Journal title:
Quantitative Finance
Journal listet in FT50 ranking:
nein
Year:
2018
Journal volume:
18
Journal issue:
7
Language:
en
Fulltext / DOI:
doi:10.1080/14697688.2017.1417622
WWW:
https://arxiv.org/abs/1611.06181
Status:
Preprint / submitted
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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