A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske‐Johnson Approach
改进了Geske-Johnson方法，通过优化执行点位置，用二元正态分布即可准确计算美式看跌期权价格，仅在深度实值时需三元正态分布，大幅简化计算。
ABSTRACT Geske and Johnson (1984) develop an equation for the American put price and obtain accurate prices using a method requiring quadrivariate normal integrals evaluated over an interval containing four equally spaced exercise points. We show that a modification of their method which uses optimal placement of exercise points yields in most cases accurate values using nothing more than bivariate normals. In the more difficult (deep‐in‐the‐money) cases, trivariate normals suffice.