New Bounds on American Option Prices

Cited 0 time in webofscience Cited 0 time in scopus
  • Hit : 343
  • Download : 0
DC FieldValueLanguage
dc.contributor.authorKim, In Joon-
dc.contributor.authorChang, Geun Hyuk-
dc.contributor.authorByun, Suk Joon-
dc.identifier.citation2008 China International Conference, v., no., pp. --
dc.description.abstractIn this article, we develop new upper and lower bounds on American option prices which improve the bounds by Broadie and Detemple. The main idea is the consideration of doubly capped call options which have two cap prices. We present a new option price approximation based on the two upper bounds. On average, our upper bound extrapolation (named UBE) has an average accuracy better than a 1,000 time-step binomial tree with a computation speed comparable to a 100 time-step binomial tree. We also provide a new method of approximating the optimal exercise boundaries of American options.-
dc.titleNew Bounds on American Option Prices-
dc.citation.publicationname2008 China International Conference-
dc.contributor.localauthorByun, Suk Joon-
dc.contributor.nonIdAuthorKim, In Joon-
dc.contributor.nonIdAuthorChang, Geun Hyuk-
Appears in Collection
MT-Conference Papers(학술회의논문)
Files in This Item
There are no files associated with this item.


  • mendeley


rss_1.0 rss_2.0 atom_1.0