A moving boundary approach to American option pricing
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Publication:2654413
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Cites work
- A Numerical Method for Solving Singular Stochastic Control Problems
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
- Heat conduction in a melting solid
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- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
- On optimal stopping and free boundary problems
- Optimal Stopping and the American Put
- Option pricing: A simplified approach
- Pricing American-style securities using simulation
- The pricing of options and corporate liabilities
- The pricing of the American option
- Variational inequalities and the pricing of American options
Cited in
(36)- An upwind approach for an American and European option pricing model
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- Hybrid Laplace transform and finite difference methods for pricing American options under complex models
- Numerical methods for pricing American options with time-fractional PDE models
- A `moving index' method for the solution of the American options valuation problem
- Analytical pricing of American options
- Direct computation for American put option and free boundary using finite difference method
- On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation
- An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options
- Valuing switching options with the moving-boundary method
- A method-of-lines approach for solving American option problems
- Pricing Parisian down-and-in options
- A simple numerical method for pricing an American put option
- Parameter estimation approach to the free boundary for the pricing of an American call option
- An approximate moving boundary method for American option pricing
- A new approach for pricing discounted American options
- American option valuation using first-passage densities
- Boundary evolution equations for American options
- Solving impulse-control problems with control delays
- Fuzzy pricing of american options on stocks with known dividends and its algorithm
- Optimal exercise of an executive stock option by an insider
- The implication of missing the optimal-exercise time of an American option
- Bermudean approximation of the free boundary associated with an American option
- Valuation of an American option as a moving boundary problem
- scientific article; zbMATH DE number 2063452 (Why is no real title available?)
- A Note on a Moving Boundary Problem Arising in the American Put Option
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
- Laplace bounds approximation for American options
- An analytical solution for Parisian up-and-in calls
- A simple iterative method for the valuation of American options
- Finite difference schemes of pricing for American call options with free and moving boundary value
- A Green's function-based iterative approach to the pricing of American options
- Moving boundary transformation for American call options with transaction cost: finite difference methods and computing
- A HODIE finite difference scheme for pricing American options
- A highly accurate linearized method for free boundary problems
- Pricing American options when asset prices jump
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