Neural Network Pricing of American Put Options
نویسندگان
چکیده
منابع مشابه
An efficient finite element method for pricing American multi-asset put options
This paper is devoted to the valuation of American multi-asset put options. It is well known that the American multi-asset put option satisfies a linear complementary problem (LCP) on an unbounded domain. We consider a penalty method in which the LCP could be reformulated into a nonlinear parabolic problem on an unbounded domain. For the unbounded computational domain, a perfectly matched layer...
متن کاملPricing American Options using Simulation
American options are financial contracts that allow exercise at any time until expiration. While the pricing of standard American option contracts has been well researched, with a few exceptions no analytical solutions exist. Valuation of more involved American option contracts, which include multiple underlying assets or pathdependent payoff, is still to a high degree an uncharted area. Most n...
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The problem of valuation for contingent claims that can be exercised at any time before or at maturity, such as American options, is discussed in the manner of Bensoussan [1]. We offer an approach which both simplifies and extends the results of existing theory on this topic.
متن کاملA Simple Numerical Method for Pricing an American Put Option
We present a simple numerical method to find the optimal exercise boundary in an American put option. We formulate an intermediate function with the fixed free boundary that has Lipschitz character near optimal exercise boundary. Employing it, we can easily determine the optimal exercise boundary by solving a quadratic equation in time-recursive way. We also present several numerical results wh...
متن کاملAsymmetric Variance Reduction for Pricing American Options
Based on the dual formulation by Rogers (2002), Monte Carlo algorithms to estimate the high-biased and low-biased estimates for American option prices are proposed. Bounds for pricing errors and the variance of biased estimators are shown to be dependent on hedging martingales. These martingales are applied to (1) simultaneously reduce the error bound and the variance of the high-biased estimat...
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ژورنال
عنوان ژورنال: Risks
سال: 2020
ISSN: 2227-9091
DOI: 10.3390/risks8030073