Hostname: page-component-cd9895bd7-dk4vv Total loading time: 0 Render date: 2024-12-23T09:48:27.588Z Has data issue: false hasContentIssue false
  • English
  • Français

A NOTE ON PERTURBATION ANALYSIS ESTIMATORS FOR AMERICAN-STYLE OPTIONS

Published online by Cambridge University Press:  01 July 2000

Michael C. Fu* ,
Rongwen Wu ,
Gül Gürkan  and
A. Yonca Demir
Michael C. Fu*
Affiliation:
The Robert H. Smith School of Business and Institute for Systems Research, University of Maryland, College Park, Maryland 20742-1815, E-mail: [email protected]
Rongwen Wu
Affiliation:
The Robert H. Smith School of Business and Institute for Systems Research, University of Maryland, College Park, Maryland 20742-1815, E-mail: [email protected]
Gül Gürkan
Affiliation:
The Robert H. Smith School of Business and Institute for Systems Research, University of Maryland, College Park, Maryland 20742-1815, E-mail: [email protected]
A. Yonca Demir
Affiliation:
The Robert H. Smith School of Business and Institute for Systems Research, University of Maryland, College Park, Maryland 20742-1815, E-mail: [email protected]
Get access Rights & Permissions [Opens in a new window]

Abstract

In this note, we correct an error in the paper by Fu and Hu [1] for the perturbation analysis estimator given for the gradient of an American call option payoff on an underlying asset paying multiple dividends. We then introduce a different asset price model that is more straightforward than the previous model, and derive the corresponding gradient estimators. We conclude with a brief discussion of extensions of the estimator to other American-style options.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 14 , Issue 3 , July 2000 , pp. 385 - 392
Copyright
© 2000 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)