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

Producción científica: Capítulo del libro/informe/acta de congreso › Capítulo de libro › revisión exhaustiva

Resumen

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.

Idioma original	Inglés
Título de la publicación alojada	Studies in Computational Intelligence
Editores	Marco A. C. Pacheco, Marley M. B. R. Vellasco
Lugar de publicación	Berlin, Heidelberg
DOI	https://doi.org/10.1007/978-3-540-93000-6_11
Estado	Publicada - 2009

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

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