Abstract
This appendix describes the algorithm proposed by Grant, Vora and Weeks [1] that is used to determine the value of an American option, where the value of an American option is approximated as if it were a European option by determining the optimal exercise boundary or threshold curve.
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References
Grant, D., Vora, G., Weeks, D.E.: Path-Dependent Options: Extending the Monte Carlo Simulation Approach. Management Science 43(11), 1589–1602 (1997)
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© 2009 Springer-Verlag Berlin Heidelberg
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Lazo, J.G.L. (2009). Appendix D – Grant, Vora and Weeks Algorithm for Determining the Value of an American Option. In: Pacheco, M.A.C., Vellasco, M.M.B.R. (eds) Intelligent Systems in Oil Field Development under Uncertainty. Studies in Computational Intelligence, vol 183. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-93000-6_11
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DOI: https://doi.org/10.1007/978-3-540-93000-6_11
Publisher Name: Springer, Berlin, Heidelberg
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