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Titel:

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

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Burkovska, O.; Gaß, M.; Glau,K.; Mahlstedt, M.; Schoutens, W.; Wohlmuth, B.
Nicht-TUM Koautoren:
ja
Kooperation:
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...     »
Stichworte:
American options, calibration, binomial tree model, CEV model, Heston model, L'evy models, model reduction, variational inequalities
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Quantitative Finance
Journal gelistet in FT50 Ranking:
nein
Jahr:
2018
Band / Volume:
18
Heft / Issue:
7
Sprache:
en
Volltext / DOI:
doi:10.1080/14697688.2017.1417622
WWW:
https://arxiv.org/abs/1611.06181
Status:
Preprint / submitted
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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