Pricing the exotic: Path-dependent American options with stochastic barriers
We develop a novel pricing strategy that approximates the value of an American option with exotic features through a portfolio of European options with different maturities. Among our findings, we show that: (i) our model is numerically robust in pricing plain vanilla American options; (ii) the mode...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021-03-01
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| Series: | Latin American Journal of Central Banking |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2666143821000053 |