PDF Pricing and Hedging American Options A Recursive Integration


PDF Pricing and Hedging American Options A Recursive Integration


In this article, we present a new method for pricing and hedging American options along with an efficient implementation procedure. The proposed method is efficient and accurate in computing both option values and various option hedge parameters. We demonstrate the computational accuracy and efficiency of this numerical procedure in relation to other competing approaches. We also suggest how the method can be applied to the case of any American option for which a closed-form solution exists for the corresponding European option.

We demonstrate the computation accuracy and efficiency of this numerical procedure in relation to other competing approaches. We also show how the method Priciny be applied to the case of any American option for which a closed-form solution exists for the corresponding European option.URI: in Collections:Finance Working Papers.

Jing-Zhi HuangPennsylvania State University - University Park - Department of Finance Marti G. AbstractIn this paper, we present a new method for pricing and hedging American options along with an efficient implementation procedure. By continuing to use our website, you are agreeing to our use of cookies. You can change your cookie settings at any time. CitationJing-zhi Huang, Marti G. Subrahmanyam, G. AbstractIn annd article, we present a new method for pricing and hedging American options along with an efficient implementation procedure.

The proposed method is efficient and accurate in computing both option values and various option.




Options and Recursive PDF Pricing Integration A Hedging American

PDF Pricing and Hedging American Options A Recursive Integration

PDF Pricing and Hedging American Options A Recursive Integration