An improvement of an analytical approximation method for American options

DOI10.1016/J.APM.2021.04.030MaRDI QIDQ2247338zbMATH OpenOpenAlexFDO

Authors Joanna Goard

Publication date 17 November 2021

Published in Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.apm.2021.04.030

zbMATH Keywords

analytical approximationsfree boundary problemsAmerican put optionscritical stock price

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 1051049 (Why is no real title available?)
• A simple iterative method for the valuation of American options
• American options under stochastic volatility
• Critical price near maturity for an American option on a dividend-paying stock.
• Double continuation regions for American and Swing options with negative discount rate in Lévy models
• On free boundary problems with arbitrary initial and flux conditions
• Perpetual American Options Under Lévy Processes
• The critical price of the American put near maturity in the jump diffusion model
• The representation of American options prices under stochastic volatility and jump-diffusion dynamics

Cited in

(10)

• Simple improvement method for upper bound of American option
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• An improved method for pricing and hedging long dated American options
• American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
• Improved lower and upper bound algorithms for pricing American options by simulation
• Pricing and hedging american options analytically: a perturbation method
• Analytical approximations for the critical stock prices of American options: a performance comparison
• An improved Barone-Adesi Whaley formula for turbulent markets
• An improved simulation method for pricing high-dimensional American derivatives.
• A New Approach for American Option Pricing: The Dynamic Chebyshev Method

Describes a project that uses

Uses Software

• Maple

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