Pricing American-Style Derivatives with European Call Options
提出一种新方法，利用欧式看涨期权价格为美式衍生品定价，适用于任何马尔可夫过程，可得到解析表达式和收敛的上下界，并通过计算验证了精度。
We present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European call-option prices are readily available. By approximating the value function with an appropriately chosen interpolation function, the pricing of an American-style derivative with arbitrary payoff function is converted to the pricing of a portfolio of European call options, leading to analytical expressions for those cases where analytical European call prices are available (e.g., the Merton jump-diffusion process). Furthermore, in many settings, the approach yields upper and lower analytical bounds that provably converge to the true option price. We provide computational results to illustrate the convergence and accuracy of the resulting estimators.