On the Methods of Pricing American Options: Case Study
| dc.contributor.author | Aydogan, Burcu | |
| dc.contributor.author | Aksoy, Umit | |
| dc.contributor.author | Ugur, Omur | |
| dc.contributor.other | Mathematics | |
| dc.date.accessioned | 2024-07-05T15:30:05Z | |
| dc.date.available | 2024-07-05T15:30:05Z | |
| dc.date.issued | 2018 | |
| dc.description | Uğur, Ömür/0000-0001-9348-7775; Aksoy, Umit/0000-0002-6014-1898; Aydogan, Burcu/0000-0002-9462-621X | en_US |
| dc.description.abstract | In this study, a comparative analysis of numerical and approximation methods for pricing American options is performed. Binomial and finite difference approximations are discussed; furthermore, Roll-Geske-Whaley, Barone-Adesi and Whaley and Bjerksund-Stensland analytical approximations as well as the least-squares Monte Carlo method of Longstaff and Schwartz are presented. Applicability and efficiency in almost all circumstances, numerical solutions of the corresponding free boundary problem is emphasized. Methods used in pricing American options are also compared on dividend and non-dividend paying assets; and their pros and cons are discussed along with numerical experiments. | en_US |
| dc.identifier.doi | 10.1007/s10479-016-2267-4 | |
| dc.identifier.issn | 0254-5330 | |
| dc.identifier.issn | 1572-9338 | |
| dc.identifier.scopus | 2-s2.0-84978032662 | |
| dc.identifier.uri | https://doi.org/10.1007/s10479-016-2267-4 | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14411/2999 | |
| dc.language.iso | en | en_US |
| dc.publisher | Springer | en_US |
| dc.relation.ispartof | 55th Meeting of EURO-Working-Group on Commodities and Ficial Modelling (EWGCFM) -- MAY 14-16, 2015 -- METU, Ankara, TURKEY | en_US |
| dc.rights | info:eu-repo/semantics/closedAccess | en_US |
| dc.subject | American options | en_US |
| dc.subject | Numerical methods | en_US |
| dc.subject | Analytical approximations | en_US |
| dc.subject | Bounds | en_US |
| dc.title | On the Methods of Pricing American Options: Case Study | en_US |
| dc.type | Conference Object | en_US |
| dspace.entity.type | Publication | |
| gdc.author.id | Uğur, Ömür/0000-0001-9348-7775 | |
| gdc.author.id | Aksoy, Umit/0000-0002-6014-1898 | |
| gdc.author.id | Aydogan, Burcu/0000-0002-9462-621X | |
| gdc.author.institutional | Aksoy, Ümit | |
| gdc.author.institutional | Aydoğan, Burcu | |
| gdc.author.scopusid | 57190164851 | |
| gdc.author.scopusid | 24402879000 | |
| gdc.author.scopusid | 23994756900 | |
| gdc.author.wosid | Uğur, Ömür/D-2361-2013 | |
| gdc.coar.access | metadata only access | |
| gdc.coar.type | text::conference output | |
| gdc.description.department | Atılım University | en_US |
| gdc.description.departmenttemp | [Aydogan, Burcu; Ugur, Omur] Middle East Tech Univ, Inst Appl Math, TR-06800 Ankara, Turkey; [Aksoy, Umit] Atilim Univ, Dept Math, TR-06836 Ankara, Turkey | en_US |
| gdc.description.endpage | 94 | en_US |
| gdc.description.issue | 1-2 | en_US |
| gdc.description.publicationcategory | Konferans Öğesi - Uluslararası - Kurum Öğretim Elemanı | en_US |
| gdc.description.startpage | 79 | en_US |
| gdc.description.volume | 260 | en_US |
| gdc.description.wosquality | Q1 | |
| gdc.identifier.wos | WOS:000419148700005 | |
| gdc.scopus.citedcount | 1 | |
| gdc.wos.citedcount | 1 | |
| relation.isAuthorOfPublication | d2ebf263-401a-478a-af5c-7f7810c94fe5 | |
| relation.isAuthorOfPublication | 0408f90b-3a47-4fc6-8251-3fdb8f6ddae5 | |
| relation.isAuthorOfPublication.latestForDiscovery | d2ebf263-401a-478a-af5c-7f7810c94fe5 | |
| relation.isOrgUnitOfPublication | 31ddeb89-24da-4427-917a-250e710b969c | |
| relation.isOrgUnitOfPublication.latestForDiscovery | 31ddeb89-24da-4427-917a-250e710b969c |