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• W2795119224 abstract "This paper implements and compares eight American option valuation methods: binomial, trinomial, explicit finite difference, implicit finite difference and quadratic approximation methods. And three Monte Carlo methods: bundling technique of Tilley (1993), simulated tree (ST) of Broadie, Glasserman, and Jain (1997), and least square regression method (LSM) of Longstaff and Schwartz (2001). Methods are compared in terms of computation efficiency and price accuracy. The findings suggest that binomial is the best performing numerical method in terms of accuracy and efficiency. LSM beats the other two simulation methods in terms of efficiency, accuracy and number of discrete exercise opportunities." @default.
• W2795119224 created "2018-04-06" @default.
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• W2795119224 date "2018-03-29" @default.
• W2795119224 modified "2023-09-27" @default.
• W2795119224 title "American Option Valuation Methods" @default.
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• W2795119224 doi "https://doi.org/10.5539/ijef.v10n5p1" @default.
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