A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach.
R. Geske and H. E. Johnson (1984) develop an equation for the American put price and obtain accurate prices using a method requiring quadrivariate normal integrals evaluated over an interval containing four equally spaced exercise points. The authors show that a modification of their method, which uses optimal placement of exercise points, yields, in most cases, accurate values using nothing more than bivariate normals. In the more difficult (deep-in-the-money) cases, trivariate normals suffice. Copyright 1992 by American Finance Association.
Year of publication: |
1992
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Authors: | Bunch, David S ; Johnson, Herb |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 47.1992, 2, p. 809-16
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Publisher: |
American Finance Association - AFA |
Saved in:
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