A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach
改进了Geske-Johnson的美式看跌期权定价方法，通过优化执行点位置，将计算复杂度从四元正态积分降至二元或三元正态积分，在多数情况下仍能保持精度，对金融从业者和研究者有实用价值。
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.