Appendix D – Grant, Vora and Weeks Algorithm for Determining the Value of an American Option

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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 languageEnglish
Title of host publicationStudies in Computational Intelligence
EditorsMarco A. C. Pacheco, Marley M. B. R. Vellasco
Place of PublicationBerlin, Heidelberg
PublisherSpringer
ISBN (Print)9783540929994, 9783540930006
DOIs
StatePublished - 2009

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