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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 
Title:
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...    »
 
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:
Language:
en 
Status:
Preprint / submitted 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Key publication:
Nein 
Peer reviewed:
Ja 
Commissioned:
not commissioned 
Technology:
Nein 
Interdisciplinarity:
Nein 
Mission statement:
Ethics and Sustainability:
Nein 
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