@inproceedings{fd9b72fd7dd24ab5abcd421ab6dd00b1,

title = "Pricing American options on dividend-paying stocks and estimating the Greek letters using Leisen-Reimer binomial trees",

abstract = "We present out work on computing the prices of American call and put options and the values of their Greek letters. The underlying stocks of the options are assumed to pay out cash dividends. For calculating option prices and their Greek letters we use the Leisen-Reimer binomial method. Through experiments we demonstrate that it converges both faster and more smoothly than the Cox-Ross-Rubinstein binomial method. We also present plots for the Greek letters calculated from American call and put options on non-dividend paying stocks. The calculation of the Greek letters with the Leisen-Reimer binomial method is explained.",

keywords = "American options, Dividend-paying stocks, Greek letters estimation, Leisen-Reimer binomial tree, Option pricing",

author = "Nan Zhang and Kaiyu Wan and Lim, {Eng Gee} and Man, {Ka Lok}",

year = "2013",

doi = "10.1007/978-3-642-38027-3_73",

language = "English",

isbn = "9783642380266",

series = "Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)",

pages = "676--685",

booktitle = "Grid and Pervasive Computing - 8th International Conference, GPC 2013 and Colocated Workshops, Proceedings",

note = "8th International Conference on Grid and Pervasive Computing, GPC 2013 ; Conference date: 09-05-2013 Through 11-05-2013",

}