Autor:	Flavio Pressacco, Marcellino Gaudenzi
Rok vydání:	2003
Předmět:	Binomial (polynomial) Econometrics Trinomial tree Binomial options pricing model Put option General Economics Econometrics and Finance Finance Interpolation Public finance Mathematics
Zdroj:	Decisions in Economics and Finance. 26:1-17
ISSN:	1129-6569 1593-8883
DOI:	10.1007/s102030300000
Popis:	We present a new method for obtaining fast and accurate estimates of the price of an American put option by binomial trees. The method is based on the interpolation of suitable values obtained by modifying the contractual strike. A time-saving procedure allows us to derive all the interpolating data from a unique standard backward procedure.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::047141d0e5c1016383a47693bcbe4db5 https://doi.org/10.1007/s102030300000 Zobrazit plný text záznamu Full text from SpringerLink