In this paper, we discuss how to construct interpolation-based models for American put options. In particular, we derive a closed-form expression and suggest multi-parameter extensions. Our result makes no assumption about the dynamics of the underlying asset, and is constructed to satisfy the necessary no-arbitrage conditions. Finally, we discuss potential applications.
CITATION STYLE
Orosi, G. (2017). An interpolation-based approach to American put option pricing. In Springer Proceedings in Mathematics and Statistics (Vol. 190, pp. 167–175). Springer New York LLC. https://doi.org/10.1007/978-3-319-46310-0_10
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