Now showing items 1-2 of 2

    • Exercisability Randomization of the American Option 

      Leduc, Guillaume (Taylor & Frances Online, 2008)
      The valuation of American options is an optimal stopping time problem which typically leads to a free boundary problem. We introduce here the randomization of the exercisability of the option. This method considerably ...
    • Joshi’s Split Tree for Option Pricing 

      Leduc, Guillaume; Hot, Merima Nurkanovic (MDPI, 2020)
      In a thorough study of binomial trees, Joshi introduced the split tree as a two-phase binomial tree designed to minimize oscillations, and demonstrated empirically its outstanding performance when applied to pricing American ...