Boundary evolution equations for American options

DOI10.1111/MAFI.12002MaRDI QIDQ2875727zbMATH OpenOpenAlexFDO

Authors Daniel Mitchell, Jonathan Goodman, Kumar Muthuraman

Publication date 11 August 2014

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/mafi.12002

zbMATH Keywords

American optionsdynamic gridearly exercise boundaryfree-boundary problemoptimal stoppingstochastic volatility

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Boundary element methods for initial value and initial-boundary value problems involving PDEs (65M38) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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• The early exercise boundary for the American put near expiry: Numerical approximation
• The pricing of options and corporate liabilities
• The pricing of options on assets with stochastic volatilities
• The pricing of the American option
• The valuation of American options for a class of diffusion processes
• Valuing American options by simulation: a simple least-squares approach

Cited in

(3)

• An approximate moving boundary method for American option pricing
• A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates
• scientific article; zbMATH DE number 5499200 (Why is no real title available?)

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