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

American put optionsanalytical approximationscritical stock pricefree boundary problems

Mathematics Subject Classification ID

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

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Cites work

• 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
• scientific article; zbMATH DE number 1051049 (Why is no real title available?)
• 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)

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

Describes a project that uses

Uses Software

• Maple

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