Pricing the American put using a new class of tight lower bounds

Magdon‐Ismail, Malik

doi:10.1109/cifer.2003.1196247

2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003. Proceedings.

DOI: 10.1109/cifer.2003.1196247

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Pricing the American put using a new class of tight lower bounds

Malik Magdon‐Ismail

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“…Magdon-Ismail (2003) proposes a lower bound on the American option value based on the value of a knock-in rebate only. He maximizes the lower bound value over exercise strategies corresponding to a piece-wise exponential exercise boundary.…”

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confidence: 99%

Analytical American Option Pricing: The Flat‐barrier Lower Bound*

Sbuelz¹

2004

Economic Notes

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In a Black and Scholes (1973) world, this paper studies the pricing performance of a closed‐form lower bound to American option values based on an exercise strategy corresponding to a flat‐exercise boundary. The lower bound has a simple two‐step implementation akin to Barone‐Adesi and Whaley (1987) formula and shows superior pricing performance in the out‐of‐the‐money region and for long maturities.

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mentioning

confidence: 99%

Analytical American Option Pricing: The Flat‐barrier Lower Bound*

Sbuelz¹

2004

Economic Notes

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show abstract

Upper and lower bounds for convex value functions of derivative contracts

Ben‐Ameur

Frutos

Fakhfakh³

et al. 2013

Economic Modelling

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Pricing the American put using a new class of tight lower bounds

Cited by 2 publications

References 42 publications

Analytical American Option Pricing: The Flat‐barrier Lower Bound*

Analytical American Option Pricing: The Flat‐barrier Lower Bound*

Upper and lower bounds for convex value functions of derivative contracts

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