Calculating the American options in the default model

DOI10.1134/S0005117907030113MaRDI QIDQ2371608zbMATH OpenOpenAlexFDO

Authors Roman Ivanov

Publication date 5 July 2007

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0005117907030113

zbMATH Keywords

optionsbinomial modelderivative security market

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 796440 (Why is no real title available?)
• scientific article; zbMATH DE number 796443 (Why is no real title available?)
• American options on assets with dividends near expiry
• Discrete approximation of finite-horizon American-style options
• Error estimates for the binomial approximation of American put options
• ON THE AMERICAN OPTION PROBLEM
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
• Pricing derivatives of American and game type in incomplete markets
• Randomized stopping times and American option pricing with transaction costs
• The Russian option: Reduced regret
• The pricing of the American option
• Valuation of American options in the presence of event risk

Cited in

(2)

• Pricing American put options on defaultable bonds
• On the problem of optimal stopping for the composite Russian option

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