de--americanization options：NN de
NN de
由PPLind著作·2023—Neuralnetwork(NN)de-Americanizationproducesfastandaccuratepseudo-EuropeanoptionpricesfromAmericanoptionmarketprices.。其他文章還包含有：「CalibrationtoAmericanoptions」、「Impliedvolandmodelcalibrationforanamericanoption...」、「CalibrationtoAmericanOptions」、「NumericalInvestigationofthede–AmericanizationMethod」、「implied」、「numericalinvestigationofthede」
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Calibration to American options
https://www.ncbi.nlm.nih.gov
The core idea of de-Americanization is to transfer the available American option data into pseudo-European option prices prior to calibration. This significantly reduces the computational time as well as the complexity of the required pricing technique.
Implied vol and model calibration for an american option ...
https://quant.stackexchange.co
There are several options: 1) Use what is called De-Americanization: In this case, based on your input dividends (maybe based on other sources ...
Calibration to American Options
https://arxiv.org
The literature mainly discusses pricing methods for American options that are based on Monte Carlo, tree and partial differential equation ...
Numerical Investigation of the de–Americanization Method
https://lirias.kuleuven.be
The motivation behind the de–Americanization methodology is to reduce the complexity as well as to lower the computational cost. In general, it ...
implied
https://quant.stackexchange.co
The aim of the de-Americanization is to find the corresponding European price (the so-called pseudo-European price) for a given American price.
numerical investigation of the de
https://www.tandfonline.com
We present an alternative approach that has become popular under the name de-Americanization in the financial industry. The method is easy to implement and ...