An approximate moving boundary method for American option pricing
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Publication:2629646
Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40) Boundary element methods for boundary value problems involving PDEs (65N38) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
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Cites work
- A moving boundary approach to American option pricing
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- An exact and explicit solution for the valuation of American put options
- An Intertemporal Capital Asset Pricing Model
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- Optimal Stopping and the American Put
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
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- Pricing American stock options by linear programming
- Pricing American-style securities using simulation
- The pricing of options and corporate liabilities
- The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
- Valuation of the early-exercise price for options using simulations and nonparametric regression
Cited in
(23)- Valuation of American strangles through an optimized lower-upper bound approach
- An improved least squares Monte Carlo valuation method based on heteroscedasticity
- On the methods of pricing American options: case study
- Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing
- Numerical methods for pricing American options with time-fractional PDE models
- A `moving index' method for the solution of the American options valuation problem
- Pricing the American options: a closed-form, simple formula
- Pricing real estate index options under stochastic interest rates
- Valuing switching options with the moving-boundary method
- General lattice methods for arithmetic Asian options
- VIX derivatives, hedging and vol-of-vol risk
- A moving boundary approach to American option pricing
- Simple improvement method for upper bound of American option
- A new elementary geometric approach to option pricing bounds in discrete time models
- An improved method for pricing and hedging long dated American options
- Bermudean approximation of the free boundary associated with an American option
- Valuation of an American option as a moving boundary problem
- A New Approach for American Option Pricing: The Dynamic Chebyshev Method
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
- A finite-dimensional approximation for pricing moving average options
- Efficient numerical pricing of American options based on multiple shooting method: a PDE approach
- A HODIE finite difference scheme for pricing American options
- Numerical pricing of American options under a nonlinear Black-Scholes framework with mixed fractional Brownian motion
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