Pricing American Options: A Duality Approach (Classic Reprint)
Language: English
Published by Forgotten Books, 2018
- Softcover
- New
Seller: Forgotten Books, London, United KingdomForgotten Books
AbeBooks seller since June 2, 2021
Condition: New
£ 14.01
Quantity: Over 20 available
Add to basketItem description from seller
Print on Demand. This book introduces a revolutionary method for pricing American options, a type of financial derivative. Traditional methods struggle with the complexity of these options, but this book's innovative approach based on duality theory provides a novel solution. The method hinges on representing the American option price as a solution to a minimization problem, enabling the construction of tight upper and lower bounds on the option's true price. The author illustrates the method's efficiency and accuracy through numerical examples, demonstrating its potential to transform the pricing of American options in practice. This book is an invaluable resource for practitioners and researchers in financial engineering, offering a robust framework for pricing American options and unlocking new possibilities for risk management and investment strategies. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book.…
Seller Inventory # 9781334538827_0
- Title
- Pricing American Options: A Duality Approach (Classic Reprint)
- Author
- Leonid Kogan, Martin Haugh
- Publisher
- Forgotten Books
- Publication year
- 2018
- Condition
- New
- Book Type
- print-on-demand item
- Binding
- Paperback
- Language
- English
- ISBN 10
- 1334538824
- ISBN 13
- 9781334538827
- Seller catalogs
- Statistics
This edition explains how to construct bounds without relying on one fixed algorithm, and it highlights how the duality representation helps assess pricing accuracy. You’ll see how training strategies, sample paths, and low-discrepancy sequences contribute to reliable estimates, even in high-dimensional settings. The text also discusses when and why duality gaps occur, and how to refine approximations to improve pricing quality.
- Learn the dual formulation that underpins American option pricing
- Explore practical algorithms for upper and lower bound estimation
- Understand the role of neural networks and training strategies in price approximation
- See real-number examples with multiple assets and varying exercise horizons
Ideal for quantitative readers who want a transparent, compute-friendly path to pricing American options and understanding the sources of pricing error. This book is suited for researchers and practitioners seeking robust methods that can be paired with other pricing approaches.
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Forgotten Books
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Forgotten Books’ Classic Reprint Series utilizes the latest technology to regenerate facsimiles of historically important writings. Careful attention has been made to accurately preserve the original format of each page whilst digitally enhancing the quality of the aged text.
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Forgotten Books publishes hundreds of thousands of rare and classic books.
This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
This text has been digitally restored from a historical edition. Some errors may persist, however we consider it worth publishing due to the work's historical value.
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