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

Juan Guillermo Lazo Lazo

doi:10.1007/978-3-540-93000-6_11

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

Juan Guillermo Lazo Lazo

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

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
Title of host publication	Studies in Computational Intelligence
Editors	Marco A. C. Pacheco, Marley M. B. R. Vellasco
Place of Publication	Berlin, Heidelberg
DOIs	https://doi.org/10.1007/978-3-540-93000-6_11
State	Published - 2009

Access to Document

10.1007/978-3-540-93000-6_11

Cite this

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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.",

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