An improvement of an analytical approximation method for American options
DOI10.1016/J.APM.2021.04.030zbMATH Open1481.91218OpenAlexW3161391800MaRDI QIDQ2247338FDOQ2247338
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
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
- American options under stochastic volatility
- The representation of American options prices under stochastic volatility and jump-diffusion dynamics
- Critical price near maturity for an American option on a dividend-paying stock.
- Perpetual American Options Under Lévy Processes
- A simple iterative method for the valuation of American options
- Title not available (Why is that?)
- On free boundary problems with arbitrary initial and flux conditions
- Double continuation regions for American and Swing options with negative discount rate in Lévy models
- The critical price of the American put near maturity in the jump diffusion model
Cited In (8)
- Simple improvement method for upper bound of American option
- Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
- 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 simulation method for pricing high-dimensional American derivatives.
- A New Approach for American Option Pricing: The Dynamic Chebyshev Method
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