American Option Pricing: An Accelerated Lattice Model with Intelligent Lattice Search
Qianru Shang and Brian Byrne
The Journal of Derivatives Fall 2019, jod.2019.1.080; DOI: https://doi.org/10.3905/jod.2019.1.080
Qianru Shang
is a PhD candidate in finance at the College of Business of Technological University Dublin, in Dublin, Ireland
Brian Byrne
is a lecturer in finance and MSc Finance co-ordinator at the College of Business of Technological University Dublin, in Dublin, Ireland
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In this issue
The Journal of Derivatives
Vol. 28, Issue 3
Spring 2021
American Option Pricing: An Accelerated Lattice Model with Intelligent Lattice Search
Qianru Shang, Brian Byrne
The Journal of Derivatives Aug 2019, jod.2019.1.080; DOI: 10.3905/jod.2019.1.080
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- Article
- Abstract
- EXTENDING KIM-BYUN-CURRAN: THE OPTIMAL EXERCISE BOUNDARY ADAPTED FOR UNRESTRICTED CONTINUOUS DIVIDENDS
- TWO ACCELERATION TECHNOLOGIES: TRUNCATION AND DYNAMIC MEMORY
- THE EFFICIENT PRICING PROCESS OF AN ACCELERATED CRR MODEL: APPLYING INTELLIGENT LATTICE SEARCH ALGORITHM, TRUNCATION, AND DYNAMIC MEMORY
- NUMERICAL RESULTS
- CONCLUSION
- ADDITIONAL READING
- ENDNOTES
- REFERENCES
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