A Fast and Accurate Numerical Approach for Pricing American-Style Power Options
In this paper, we present a fast and accurate numerical approach applied to specific American-style derivatives, namely American power call and put options, whose main feature is that the underlying asset is raised to a power. The study is set in the Black–Scholes framework, and we consider continuo...
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| Principais autores: | , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
MDPI AG
2025-06-01
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| Colecção: | Mathematics |
| Assuntos: | |
| Acesso em linha: | https://www.mdpi.com/2227-7390/13/12/2031 |
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