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

DOI10.1080/14697680903193405zbMATH Open1278.91171OpenAlexW2027111242MaRDI QIDQ2869962FDOQ2869962

Authors: Jing Zhao, Hoi Ying Wong 

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

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zbMATH Keywords

American optiongeneral diffusion processgeneralized homotopy analysis methodPadé technique

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60)

Cites Work

• Beyond Perturbation
• Valuing American options by simulation: a simple least-squares approach
• Option pricing: A simplified approach
• CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• An exact and explicit solution for the valuation of American put options
• Convexity of the optimal stopping boundary for the American put option
• The implied volatility smirk
• Randomization and the American put
• Practical Extrapolation Methods
• Numerically solving nonlinear problems by the homotopy analysis method
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• An Artificial Boundary Method for American Option Pricing under the CEV Model
• A hyperbolic diffusion model for stock prices
• The valuation of American options for a class of diffusion processes
• Local volatility function models under a benchmark approach

Cited In (17)

• A simple numerical method for pricing an American put option
• A nonlinear partial differential equation for american options in the entire domain of the state variable
• An efficient numerical method for pricing American put options under the CEV model
• A Closed-Form Solution for the Exercise Strategy in a Real Options Model with a Jump-Diffusion Process
• An optimal homotopy-analysis approach for strongly nonlinear differential equations
• CEV asymptotics of American options
• A new integral equation formulation for American put options
• Boundary evolution equations for American options
• Quasi-explicit formulas for American options in a jump-diffusion model
• The forward-path method for pricing multi-asset American-style options under general diffusion processes
• An exact and explicit solution for the valuation of American put options
• Stochastic approximation methods for American type options
• Closed-form optimal strategies of continuous-time options with stochastic differential equations
• A predictor-corrector approach for pricing American options under the finite moment log-stable model
• Generalized trapezoidal formulas for valuing American options
• Homotopy analysis method for boundary-value problem of turbo warrant pricing under stochastic volatility
• Application of homotopy analysis method to option pricing under Lévy processes

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