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Randomization and the American put
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DOI：10.1093/rfs/11.3.597.png)
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Abstract
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While American calls on non-dividend-paying stocks may be valued as European, there is no completely explicit exact solution for the values of American puts. We use a technique called randomization to value American puts and calls on dividend-paying stocks. This technique-yields a new semiexplicit approximation for American option values in the Black-Scholes model. Numerical results indicate that the approximation is both accurate and computationally efficient.
Keywords:
ANALYTIC VALUATION
OPTIONS
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