Randomization and the American put

被引:204
作者
Carr, P [1 ]
机构
[1] Morgan Stanley, New York, NY 14853 USA
关键词
D O I
10.1093/rfs/11.3.597
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
While American calls on non-dividend-paying stocks may be valued as European, there is no completely explicit exact solution for the values of American puts. We use a technique called randomization to value American puts and calls on dividend-paying stocks. This technique-yields a new semiexplicit approximation for American option values in the Black-Scholes model. Numerical results indicate that the approximation is both accurate and computationally efficient.
引用
收藏
页码:597 / 626
页数:30
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