Probability in the Engineering and Informational Sciences · 2000 · 10 citations · 2 references
BusinessEconomicsFinanceAsset PricingFinancial EconomicsQuantitative FinanceAsset Pricing EmpiricsCapital Asset Pricing ModelOption PricingOption Pricing ModelsPerturbation MethodsPerturbation TheoryDividend-paying Asset OptionsOption Pricing TheoryOption Pricing ValuationPerturbation Analysis
In this note, we correct an error in the paper by Fu and Hu [1] 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 estimators. We conclude with a brief discussion of extensions of the estimator to other American-style options.
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