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We introduce a set of lattice techniques to the Leisen‐Reimer and Tian binomial models with a view to accelerating computation time and improving accuracy of American Option valuation. A level of accuracy and efficiency combined can be achieved that surpass commonly used analytical analogues. We compare these efficient lattice models with analytical formulae for pricing different groups of options...
Stock options is a contract which give the right (without obligation) to the owner to buy or to sell stock asset at certain price during specified time period. Stock option is derivate product of stock, created to hedge and speculate. This research use Least-Square Monte Carlo (LSM) method to estimate American put option price. Firstly, LSM method is applied to determine single asset of American put...
By using the homotopy analysis method, we derive a new explicit approximate formula for the optimal exercise boundary of American options on an underlying asset with dividend yields. Compared with highly accurate numerical values, the new formula is shown to be valid for up to 2 years of time to maturity, which is ten times longer than existing explicit approximate formulas. The option price errors...
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