On the Quadratic Approximation to the Value of American Options: An Alternative

2006 ◽  
Author(s):  
Andreas Andrikopoulos
Keyword(s):  
American Options ◽  
Quadratic Approximation

REFINING THE QUADRATIC APPROXIMATION FORMULA FOR AN AMERICAN OPTION

2001 ◽  
Vol 04 (05) ◽  
pp. 773-781 ◽  
Author(s):  
WOON KWONG WONG ◽  
KAI XU
Keyword(s):  
Approximation Method ◽  
American Options ◽  
American Option ◽  
Quadratic Approximation ◽  
Approximation Formula ◽  
Qualitative Behavior ◽  
Special Case

The aim of this paper is to provide a more refined approximation for the valuation of an American option, based on the quadratic approximation method. We not only show that the result using the old method is the special case of our method, but also investigate the qualitative behavior of American options with respect to a certain new parameter.

LP valuation of exotic American options exploiting structure

1998 ◽  
Vol 2 (1) ◽  
pp. 61-84 ◽  
Author(s):  
M Dempster ◽  
J Hutton ◽  
d Richards
Keyword(s):  
American Options
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