Pricing and Hedging American Options: A Recursive Integration Method

Jing zhi Huang, Marti G. Subrahmanyam, G. George Yu

Research output: Contribution to journalArticlepeer-review

184 Scopus citations


In this article, we present a new method for pricing and hedging American options along with an efficient implementation procedure. The proposed method is efficient and accurate in computing both option values and various option hedge parameters. We demonstrate the computational accuracy and efficiency of this numerical procedure in relation to other competing approaches. We also suggest how the method can be applied to the case of any American option for which a closed-form solution exists for the corresponding European option.

Original languageEnglish (US)
Pages (from-to)277-300
Number of pages24
JournalReview of Financial Studies
Issue number1
StatePublished - 1996

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics


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