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. Mathematics Subject Classification (2000): 91B28Journal of Economic Literature Classification: C63

In a recent critical review of de Finetti's paper "Il problema dei pieni'', the Nobel Prize winner Harry Markowitz recognized the primacy of de Finetti in applying the mean-variance approach to finance, but pointed out that de Finetti did not solve the problem for the general case of correlated risks. We argue in this paper that a more fair sentence would be: de Finetti did solve the general problem but under an implicit hypothesis of regularity which is not always satisfied. Moreover, a natural extension of de Finetti's procedure to non-regular cases offers a general solution for the correlation case and shows that de Finetti anticipated a modern mathematical programming approach to mean-variance problems.

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progetti finanziari, tassi interni, margini periodali, scomposizione dei saldo finale,

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