Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Fast and accurate valuation of American barrier options
Farid AitSahlia, Lorens Imhof, Tze Leung Lai
Abstract
ABSTRACT
This article develops two fast and accurate methods to compute boun daries, prices and hedge parameters of American barrier options. An extensive numerical study that compares these approximations with benchmark values and other methods shows that they are highly accurate and improve the currently available approximations in both speed and accuracy.
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