An improvement of an analytical approximation method for American options

DOI10.1016/j.apm.2021.04.030zbMath1481.91218OpenAlexW3161391800MaRDI QIDQ2247338

Joanna M. 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

free boundary problemsanalytical approximationsAmerican put optionscritical stock price

Mathematics Subject Classification ID

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

Uses Software

• Maple

Cites Work

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• On free boundary problems with arbitrary initial and flux conditions
• Critical price near maturity for an American option on a dividend-paying stock.
• The Critical Price of the American Put Near Maturity in the Jump Diffusion Model
• American Options Under Stochastic Volatility
• Perpetual American Options Under Lévy Processes
• Double continuation regions for American and Swing options with negative discount rate in Lévy models
• A simple iterative method for the valuation of American options
• The representation of American options prices under stochastic volatility and jump-diffusion dynamics

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