Pricing American options by exercise rate optimization

Christian Bayer; Raul Tempone; Sören Wolfers

doi:10.1080/14697688.2020.1750678

Pricing American options by exercise rate optimization

Christian Bayer, Raul Tempone, Sören Wolfers

Research output: Contribution to journal › Article › peer-review

12 Scopus citations

Abstract

A new method for the numerical pricing of American options.

Original language	English (US)
Pages (from-to)	1-12
Number of pages	12
Journal	Quantitative Finance
DOIs	https://doi.org/10.1080/14697688.2020.1750678
State	Published - Jul 7 2020

Bibliographical note

KAUST Repository Item: Exported on 2020-10-01
Acknowledged KAUST grant number(s): URF/1/2584-01-01
Acknowledgements: This work was supported by the King Abdullah University of Science and Technology (KAUST) Office of Sponsored Research (OSR, award URF/1/2584-01-01), the German Research Foundation (DFG, grant BA5484/1) and the Alexander von Humboldt Foundation. R. Tempone and S. Wolfers are members of the KAUST SRI Center for Uncertainty Quantification in Computational Science and Engineering.

Access to Document

10.1080/14697688.2020.1750678

https://repository.kaust.edu.sa/bitstream/10754/630806/1/1809.07300.pdf

Cite this

@article{5f045a9e17a74a6b83835fbf43b3f176,

title = "Pricing American options by exercise rate optimization",

abstract = "A new method for the numerical pricing of American options.",

author = "Christian Bayer and Raul Tempone and S{\"o}ren Wolfers",

note = "KAUST Repository Item: Exported on 2020-10-01 Acknowledged KAUST grant number(s): URF/1/2584-01-01 Acknowledgements: This work was supported by the King Abdullah University of Science and Technology (KAUST) Office of Sponsored Research (OSR, award URF/1/2584-01-01), the German Research Foundation (DFG, grant BA5484/1) and the Alexander von Humboldt Foundation. R. Tempone and S. Wolfers are members of the KAUST SRI Center for Uncertainty Quantification in Computational Science and Engineering.",

year = "2020",

month = jul,

day = "7",

doi = "10.1080/14697688.2020.1750678",

language = "English (US)",

pages = "1--12",

journal = "Quantitative Finance",

issn = "1469-7696",

publisher = "Taylor and Francis Ltd.",

}

TY - JOUR

T1 - Pricing American options by exercise rate optimization

AU - Bayer, Christian

AU - Tempone, Raul

AU - Wolfers, Sören

N1 - KAUST Repository Item: Exported on 2020-10-01 Acknowledged KAUST grant number(s): URF/1/2584-01-01 Acknowledgements: This work was supported by the King Abdullah University of Science and Technology (KAUST) Office of Sponsored Research (OSR, award URF/1/2584-01-01), the German Research Foundation (DFG, grant BA5484/1) and the Alexander von Humboldt Foundation. R. Tempone and S. Wolfers are members of the KAUST SRI Center for Uncertainty Quantification in Computational Science and Engineering.

PY - 2020/7/7

Y1 - 2020/7/7

N2 - A new method for the numerical pricing of American options.

AB - A new method for the numerical pricing of American options.

UR - http://hdl.handle.net/10754/630806

UR - https://www.tandfonline.com/doi/full/10.1080/14697688.2020.1750678

UR - http://www.scopus.com/inward/record.url?scp=85087738818&partnerID=8YFLogxK

U2 - 10.1080/14697688.2020.1750678

DO - 10.1080/14697688.2020.1750678

M3 - Article

SN - 1469-7696

SP - 1

EP - 12

JO - Quantitative Finance

JF - Quantitative Finance

ER -

Pricing American options by exercise rate optimization

Abstract

Bibliographical note

Access to Document

Other files and links

Fingerprint

Cite this