Pricing of American call options using regression and numerical integration
Consider the American basket call option in the case where there are N underlying assets, the number of possible exercise times prior to maturity is finite, and the vector of N asset prices is modeled using a Levy process. A numerical method based on regression and numerical integration is proposed...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | en |
| Published: |
AENSI Publisher
2014
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| Subjects: | |
| Online Access: | http://eprints.sunway.edu.my/310/1/8-17_Pricing%20of%20American%20Call%20Options%20Using%20regression%20and%20Numerical%20Integration.pdf http://eprints.sunway.edu.my/310/ http://www.ajbasweb.com/ |
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