Abstract
This appendix describes the algorithm proposed by Grant, Vora and Weeks [1] that is used to determine the value of an American option, where the value of an American option is approximated as if it were a European option by determining the optimal exercise boundary or threshold curve.
Original language | English |
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Title of host publication | Studies in Computational Intelligence |
Editors | Marco A. C. Pacheco, Marley M. B. R. Vellasco |
Place of Publication | Berlin, Heidelberg |
DOIs | |
State | Published - 2009 |