Pricing American options by exercise rate optimization

Christian Bayer; Raul Tempone; Sören Wolfers

doi:10.1080/14697688.2020.1750678

Pricing American options by exercise rate optimization

Christian Bayer, Raul Tempone, Sören Wolfers

Research output: Contribution to journal › Article › peer-review

12 Scopus citations

Abstract

A new method for the numerical pricing of American options.

Original language	English (US)
Pages (from-to)	1-12
Number of pages	12
Journal	Quantitative Finance
DOIs	https://doi.org/10.1080/14697688.2020.1750678
State	Published - Jul 7 2020

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title = "Pricing American options by exercise rate optimization",

abstract = "A new method for the numerical pricing of American options.",

author = "Christian Bayer and Raul Tempone and S{\"o}ren Wolfers",

note = "KAUST Repository Item: Exported on 2020-10-01 Acknowledged KAUST grant number(s): URF/1/2584-01-01 Acknowledgements: This 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.",

year = "2020",

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doi = "10.1080/14697688.2020.1750678",

language = "English (US)",

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AU - Tempone, Raul

AU - Wolfers, Sören

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PY - 2020/7/7

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N2 - A new method for the numerical pricing of American options.

AB - A new method for the numerical pricing of American options.

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JF - Quantitative Finance

ER -

Pricing American options by exercise rate optimization

Abstract

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