Dresden 2003 – wissenschaftliches Programm

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 3: Postersitzung

AKSOE 3.1: Poster

Montag, 24. März 2003, 15:45–17:15, P1

Pricing of American style options with a hybrid method — •Uwe Jaekel — NEC Europe Ltd, C&C Research Laboratories, Sankt Augustin

A semianalytical method for the computation of the early exercise premium of American style options is proposed. The method can be used on top of existing numerical methods like finite difference schemes or Monte Carlo methods to improve price estimates obtained on rather coarse grids. This should open new possibilites to price numerically demanding basket options.