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 |
Editorial | Springer |
ISBN (versión impresa) | 9783540929994, 9783540930006 |
DOI | |
Estado | Publicada - 2009 |