American option pricing models
GPTKB entity
Statements (22)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:financial_technology
|
| gptkbp:appliesTo |
gptkb:American_options
|
| gptkbp:challenge |
no closed-form solution for general case
|
| gptkbp:contrastsWith |
European option pricing models
|
| gptkbp:feature |
early exercise
|
| https://www.w3.org/2000/01/rdf-schema#label |
American option pricing models
|
| gptkbp:includes |
gptkb:Barone-Adesi_and_Whaley_approximation
gptkb:Least_Squares_Monte_Carlo_(LSM)_method gptkb:Roll-Geske-Whaley_model gptkb:binomial_model gptkb:Monte_Carlo_simulation finite difference methods |
| gptkbp:originatedIn |
1970s
|
| gptkbp:purpose |
to determine the fair value of American options
|
| gptkbp:relatedTo |
gptkb:Black-Scholes_model
option pricing theory |
| gptkbp:requires |
numerical methods
|
| gptkbp:usedBy |
gptkb:merchant
financial analysts risk managers |
| gptkbp:bfsParent |
gptkb:Black–Scholes–Merton_model
|
| gptkbp:bfsLayer |
6
|