Pricing the American options: a closed-form, simple formula

DOI10.1016/J.PHYSA.2019.123873MaRDI QIDQ2140741zbMATH OpenOpenAlexWikidataFDO

Authors Moawia Alghalith

Publication date 23 May 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2019.123873

zbMATH Keywords

American option pricingclosed-form formulageneralized Black-Scholes PDEupper bound

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• American prices embedded in European prices
• A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
• CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS
• MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
• Pricing American Options: A Duality Approach

Cites work

• A first course in quantitative finance
• A HODIE finite difference scheme for pricing American options
• A method-of-lines approach for solving American option problems
• A robust spline collocation method for pricing American put options
• A simple iterative method for the valuation of American options
• An approximate moving boundary method for American option pricing
• An exact and explicit solution for the valuation of American put options
• Convergence of the trinomial tree method for pricing European/American options
• Finite difference method for the two-dimensional Black-Scholes equation with a hybrid boundary condition
• scientific article; zbMATH DE number 2119185 (Why is no real title available?)
• Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view
• Option pricing when underlying stock returns are discontinuous
• Pricing the American options using the Black-Scholes pricing formula

Cited in

(4)

• Perpetual cancellable American options with convertible features
• American rainbow option pricing formulae in uncertain environment
• The price of the Bermudan option: A simple, explicit formula
• A long-memory version of the bergomi model: pricing and calibration for American put option

This page was built for publication: Pricing the American options: a closed-form, simple formula

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2140741)