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Paper / 2013SMQ / 152667806006672
The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options
Christoph Reisinger / J. H. Witte / Sam Howison
option pricingResource overview

The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options

Paper2013

by Christoph Reisinger, J. H. Witte, Sam Howison

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option pricing

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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