A closed-form solution to American options under general diffusion processes

DOI10.1080/14697680903193405zbMath1278.91171MaRDI QIDQ2869962

Hoi Ying Wong, Jing Zhao

Publication date: 17 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903193405

zbMATH Keywords

American option; Padé technique; general diffusion process; generalized homotopy analysis method

Mathematics Subject Classification ID

60J60: Diffusion processes

91G20: Derivative securities (option pricing, hedging, etc.)

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