Power approximation for pricing American options

DOI10.1111/ITOR.13540MaRDI QIDQ6946961zbMATH OpenFDO

Authors Noura El Hassan, Bacel Maddah

Publication date 5 August 2025

Published in International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/ITOR.13540

zbMATH Keywords

American optionsderivativespower approximation

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites work

• A comparison of lattice based option pricing models on the rate of convergence
• A dynamic programming procedure for pricing American-style Asian options
• A Revision of the Power Approximation for Computing (s, S) Policies
• An improved method for pricing and hedging long dated American options
• Analytical approximations for the critical stock prices of American options: a performance comparison
• Computing Optimal (s, S) Inventory Policies
• Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
• scientific article; zbMATH DE number 3188902 (Why is no real title available?)
• Influences of risk-aversion behavior and purchasing option in a cross-border dual-channel supply chain
• Optimal decision policy for real options under general Markovian dynamics
• Optimal stopping and perpetual options for Lévy processes
• Option pricing: A simplified approach
• Periodic review (s, S) inventory model with permissible delay in payments
• Power Approximation for Computing (s, S) Policies Using Service Level
• Pricing Asian options via compound gamma and orthogonal polynomials
• The Power Approximation for Computing (s, S) Inventory Policies
• The pricing of options and corporate liabilities

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