An Improvement of an analytical approximation method for American options
Publication Name
Applied Mathematical Modelling
Abstract
This paper looks at the method of Medvedev and Scaillet at pricing short-term American options and provides an improved representation of their series solution in which explicit formulae for the coefficients are provided. This then avoids the need for solving complicated, recursive systems and efficiently provides fast solutions. We also compare the method with well-known existing methods and find that it outperforms them in giving more accurate option prices as well as critical stock prices.
Open Access Status
This publication is not available as open access
Volume
98
First Page
134
Last Page
142