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- W3185153637 abstract "We develop a novel pricing strategy that approximates the value of an American option with exotic features through a portfolio of European options with different maturities. Among our findings, we show that: (i) our model is numerically robust in pricing plain vanilla American options; (ii) the model matches observed bids and premiums of multidimensional options that integrate Ratchet, Asian, and Barrier characteristics; and (iii) our closed-form approximation allows for an analytical solution of the option’s greeks, which characterize the sensitivity to various risk factors. Finally, we highlight that our estimation requires less than 1% of the computational time compared to other standard methods, such as Monte Carlo simulations." @default.
- W3185153637 created "2021-08-02" @default.
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- W3185153637 date "2021-03-02" @default.
- W3185153637 modified "2023-09-28" @default.
- W3185153637 title "Pricing the exotic: Path-dependent American options with stochastic barriers" @default.
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- W3185153637 doi "https://doi.org/10.32468/be.1156" @default.
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