Some mathematical results in the pricing of American options
From MaRDI portal
Publication:4294297
DOI10.1017/S0956792500001194zbMath0797.60051MaRDI QIDQ4294297
J. N. Dewynne, I. Rupf, Paul Wilmott, S. D. Howison
Publication date: 10 October 1994
Published in: European Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0956792500001194
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
35K20: Initial-boundary value problems for second-order parabolic equations
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
A nonlinear partial differential equation for american options in the entire domain of the state variable, A hybrid finite difference scheme for pricing Asian options, Sensitivity analysis of the optimal exercise boundary of the American put option, A penalty method for a fractional order parabolic variational inequality governing American put option valuation, A practical finite difference method for the three-dimensional Black-Scholes equation, Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation, Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics, Ratchet consumption over finite and infinite planning horizons, Asymptotic analysis of shout options close to expiry, A predictor-corrector approach for pricing American options under the finite moment log-stable model, A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty, A general preconditioner for linear complementarity problem with an \(M\)-matrix, A robust and accurate finite difference method for a generalized Black-Scholes equation, A spectral-collocation method for pricing perpetual American puts with stochastic volatility, A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets, Illiquidity, position limits, and optimal investment for mutual funds, A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility, A simple heuristic for valuing certain perpetual American-type securities, A numerical analysis of variational valuation techniques for derivative securities, Implicit-explicit Runge-Kutta methods for financial derivatives pricing models, High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU, A generalized complementarity approach to solving real option problems, Optimal multiple stopping models of reload options and shout options, Spectral method for differential equations of degenerate type on unbounded domains by using generalized Laguerre functions, An upper bound on the value of an infinite American call option on difference and sum of two assets, Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs, Installment options close to expiry, Variational inequalities applied to option market problem, Convergence analysis of a monotonic penalty method for American option pricing, Two-factor convertible bonds valuation using the method of characteristics/finite elements, Penalty methods for the numerical solution of American multi-asset option problems, Adaptive \(\theta \)-methods for pricing American options, Analysis of an uncertain volatility model, Calibration of a path-dependent volatility model: empirical tests, On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options, The multigrid algorithm applied to a degenerate equation: A convergence analysis, Analysis of quadrature methods for pricing discrete barrier options, A PDE approach to regularity of solutions to finite horizon optimal switching problems, An upwind approach for an American and European option pricing model, Penalty methods for American options with stochastic volatility, Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme., Accurate numerical solution of initial value problems for the time dependent convection-diffusion equation, Solving variational inequalities with a quadratic cut method: a primal-dual, Jacobian-free approach, PDE methods for pricing barrier options, Hedged Monte-Carlo: low variance derivative pricing with objective probabilities, A quasi-radial basis functions method for American options pricing., Numerically pricing American options under the generalized mixed fractional Brownian motion model, Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function, Asset retirement with infinitely repeated alternative replacements: harvest age and species choice in forestry, Cubic spline method for a generalized Black-Scholes equation, The pricing of Asian options in uncertain volatility model, Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations, Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations, Stock loan valuation based on the finite moment log-stable process, A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing, Numerical techniques for pricing callable bonds with notice, Operator splitting methods for American option pricing., Differential quadrature domain decomposition method for a class of parabolic equations, A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation, The spillover effects of biofuel policy on participation in the conservation reserve program, Numerical approximation of a time-fractional Black-Scholes equation, Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme, Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing, A preconditioned two-step modulus-based matrix splitting iteration method for linear complementarity problem, On comparative analysis for the Black-Scholes model in the generalized fractional derivatives sense via Jafari transform, An efficient method for solving fractional Black-Scholes model with index and exponential decay kernels, A second order numerical method for the time-fractional Black-Scholes European option pricing model, Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters, An adaptive moving mesh method for a time-fractional Black-Scholes equation, A sixth order numerical method and its convergence for generalized Black-Scholes PDE, A fourth order numerical method based on B-spline functions for pricing Asian options, An integral equation representation approach for valuing Russian options with a finite time horizon, Error estimates for backward Euler finite element approximations of American call option valuation, Generalized lower-order penalty algorithm for solving second-order cone mixed complementarity problems, A power penalty approach to a nonlinear complementarity problem, Bounds on short cylinders and uniqueness in Cauchy problem for degenerate Kolmogorov equations, An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem, A robust spline collocation method for pricing American put options, Pricing stock loans with the CGMY model, Sharp error estimate for implicit finite element scheme for American put option, A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option, A finite difference moving mesh method based on conservation for moving boundary problems, Optimal impulse control for a multidimensional cash management system with generalized cost functions, Convergence of the trinomial tree method for pricing European/American options, A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation, Finite difference scheme with a moving mesh for pricing Asian options, An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs, The American straddle close to expiry, The valuation of unit-linked policies with or without surrender options, Computation and sensitivity analysis of the pricing of American call options, Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods, Augmented Lagrangian method applied to American option pricing, Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs, A stochastic delay model for pricing debt and equity: numerical techniques and applications, A dynamic programming approach to price installment options, Monte Carlo methods for pricing financial options, Lattice Boltzmann method for the generalized Black-Scholes equation, Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation, Recent Advances in Numerical Solution of HJB Equations Arising in Option Pricing, Finite volume methods for the valuation of American options, A backward Monte Carlo approach to exotic option pricing, Analytical and Numerical Results for American Style of Perpetual Put Options Through Transformation into Nonlinear Stationary Black-Scholes Equations, INTEGRAL EQUATION FORMULATION FOR SHOUT OPTIONS, An integration preconditioning method for solving option pricing problems, Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes, Shout options: A framework for pricing contracts which can be modified by the investor, A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing
Cites Work
