A Note on Perturbation Analysis Estimators for American-Style Options1


In this note, we correct an error in the paper by Fu and Hu (1995) for the perturbation analysis estimator given for the gradient of an American call option payoff on an underlying asset paying multiple dividends. We then introduce a different asset price model that is more straightforward than the previous model, and derive the corresponding gradient… (More)


Figures and Tables

Sorry, we couldn't extract any figures or tables for this paper.

Slides referencing similar topics