This paper looks at the method of Medvedev and Scaillet at pricing short-term American options and provides an improved representation of their series solution in which explicit formulae for the coefficients are provided. This then avoids the need for solving complicated, recursive systems and efficiently provides fast solutions. We also compare the method with well-known existing methods and find that it outperforms them in giving more accurate option prices as well as critical stock prices.

中文翻译：

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美式期权解析近似方法的改进

本文着眼于 Medvedev 和 Scaillet 为短期美式期权定价的方法，并提供了他们的级数解的改进表示，其中提供了系数的显式公式。这样就无需解决复杂的递归系统，并有效地提供快速解决方案。我们还将该方法与众所周知的现有方法进行比较，发现它在提供更准确的期权价格和关键股票价格方面优于它们。