Exercisability Randomization of the American Option

DOI10.1080/07362990802128669MaRDI QIDQ3518307zbMATH OpenOpenAlexFDO

Authors Guillaume Leduc

Publication date 7 August 2008

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11073/16670

zbMATH Keywords

American optionsevolution equationfree boundary problemoptimal stopping time problemrandomization

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Recommendations

• Randomization and the American put
• Alternative randomization for valuing American options
• The randomized American option as a classical solution to the penalized problem
• The random-time binomial model
• Randomized binomial tree and pricing of American-style options

Cites work

• A finite volume approach for contingent claims valuation
• A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
• A semigroup approach to American options
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• An exact and explicit solution for the valuation of American put options
• An Introduction to Branching Measure-Valued Processes
• Compact finite difference method for American option pricing
• Convergence of values in optimal stopping and convergence of optimal stopping times
• Differential quadrature method for pricing American options
• Fast accurate binomial pricing
• LAGUERRE SERIES IN CONTINGENT CLAIM VALUATION, WITH APPLICATIONS TO ASIAN OPTIONS
• Laplace transforms and American options
• Maturity randomization for stochastic control problems
• Monte Carlo valuation of American options
• On convergence of a semi-analytical method for American option pricing
• ON THE AMERICAN OPTION PROBLEM
• On the convergence from discrete to continuous time in an optimal stopping problem.
• On the optimal exercise boundary for an American put option
• Optimal Stopping and the American Put
• Option pricing using a binomial model with random time steps (A formal model of gamma hedging)
• Option pricing: A simplified approach
• PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD
• Pricing of perpetual American and Bermudan options by binomial tree method
• Randomization and the American put
• Stochastic calculus for finance. I: The binomial asset pricing model.
• THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
• The complete characterization of a general class of superprocesses
• The random-time binomial model
• Valuation of Barrier Options in a Black–Scholes Setup with Jump Risk
• Valuing American options by simulation: a simple least-squares approach

Cited in

(7)

• American options exercise boundary when the volatility changes randomly
• Option convergence rate with geometric random walks approximations
• A European option general first-order error formula
• Alternative randomization for valuing American options
• Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?
• Randomization and the American put
• The randomized American option as a classical solution to the penalized problem

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