In this paper the authors investigate the performance of the original and repeated Richardson extrapolation methods for American option pricing by implementing both the original and modified Geske–Johnson approximation formulae. A comprehensive numerical comparison includes alternative...

This study compares the computational accuracy and efficiency of three numerical methods for the valuation of contingent claims written on multiple underlying assets; these are the trinomial tree, original Markov chain and Sobol-Markov chain approaches. The major findings of this study are: (i)...