American-Type Options

10 Results of experimental studies

In this chapter, we presents some experimental results, which illustrate theoretical reward approximation results presented in two volumes of the present book.

In Section 10.1, we present results of experimental studies of rates of convergence for binomial- and trinomial-tree reward approximations for American options for discrete time log-price processes represented by Gaussian random walks.

In Section 10.2, we present analogous results for space-skeleton reward approximations for standard call American options, for discrete time log-price processes represented by Gaussian and compound Gaussian random walks and digital American options, with random pay-off represented by a compound Poisson-gamma processes, ...