{"data":{"id":"10.6084/m9.figshare.1629365","type":"dois","attributes":{"doi":"10.6084/m9.figshare.1629365","prefix":"10.6084","suffix":"m9.figshare.1629365","identifiers":[],"alternateIdentifiers":[],"creators":[{"name":"Gutiérrez, Óscar","nameType":"Personal","givenName":"Óscar","familyName":"Gutiérrez","affiliation":[],"nameIdentifiers":[]}],"titles":[{"title":"American option pricing by a method of error correction"}],"publisher":"Taylor \u0026 Francis","container":{},"publicationYear":2016,"subjects":[{"subject":"80699 Information Systems not elsewhere classified","subjectScheme":"FOR"},{"subject":"FOS: Computer and information sciences","schemeUri":"http://www.oecd.org/science/inno/38235147.pdf","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"FOS: Computer and information sciences","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"19999 Mathematical Sciences not elsewhere classified","subjectScheme":"FOR"},{"subject":"FOS: Mathematics","schemeUri":"http://www.oecd.org/science/inno/38235147.pdf","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"FOS: Mathematics","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"Cancer"},{"subject":"110309 Infectious Diseases","subjectScheme":"FOR"},{"subject":"FOS: Health sciences","schemeUri":"http://www.oecd.org/science/inno/38235147.pdf","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"FOS: Health sciences","subjectScheme":"Fields of Science and Technology (FOS)"},{"subject":"Computational Biology"}],"contributors":[],"dates":[{"date":"2015-12-30","dateType":"Created"},{"date":"2016-05-11","dateType":"Updated"},{"date":"2016","dateType":"Issued"}],"language":null,"types":{"ris":"DATA","bibtex":"misc","citeproc":"dataset","schemaOrg":"Dataset","resourceType":"Dataset","resourceTypeGeneral":"Dataset"},"relatedIdentifiers":[{"relationType":"IsSupplementTo","relatedIdentifier":"10.1080/0013791x.2015.1136014","relatedIdentifierType":"DOI"}],"relatedItems":[],"sizes":["1284312 Bytes"],"formats":[],"version":null,"rightsList":[{"rights":"Creative Commons Attribution 4.0 International","rightsUri":"https://creativecommons.org/licenses/by/4.0/legalcode","schemeUri":"https://spdx.org/licenses/","rightsIdentifier":"cc-by-4.0","rightsIdentifierScheme":"SPDX"}],"descriptions":[{"description":"The real options approach often assumes that investment projects last indefinitely, which is an unrealistic assumption. When projects live finitely, valuation techniques from American option pricing are required. This article presents a method for pricing American options based on the first-passage approach to the problem. The key is to correct the error associated with the price obtained from a rough first approximation. The procedure leads to a significant reduction in error corresponding to the initial approximation. As a particular case of the method proposed, we derive a closed-form approximation of the option price. The existence of a closed-form approximating formula (that does not involve iterative methods) keeps the computational cost low. In terms of accuracy, the method can be compared to much more sophisticated methods. A tight lower bound (given in closed form) is also provided. The method is fast, accurate, flexible, and easy to implement. A spreadsheet suffices for practical implementation.","descriptionType":"Abstract"}],"geoLocations":[],"fundingReferences":[],"xml":"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","url":"https://tandf.figshare.com/articles/dataset/American_option_pricing_by_a_method_of_error_correction/1629365/2","contentUrl":null,"metadataVersion":5,"schemaVersion":"http://datacite.org/schema/kernel-4","source":"mds","isActive":true,"state":"findable","reason":null,"viewCount":0,"viewsOverTime":[],"downloadCount":0,"downloadsOverTime":[],"referenceCount":0,"citationCount":0,"citationsOverTime":[],"partCount":0,"partOfCount":0,"versionCount":0,"versionOfCount":0,"created":"2015-12-30T20:40:18.000Z","registered":"2015-12-30T20:40:19.000Z","published":"2016","updated":"2020-09-04T13:53:22.000Z"},"relationships":{"client":{"data":{"id":"figshare.ars","type":"clients"}},"provider":{"data":{"id":"otjm","type":"providers"}},"media":{"data":{"id":"10.6084/m9.figshare.1629365","type":"media"}},"references":{"data":[]},"citations":{"data":[]},"parts":{"data":[]},"partOf":{"data":[]},"versions":{"data":[]},"versionOf":{"data":[]}}}}