American option valuation using first-passage densities

DOI10.1080/14697688.2013.794387zbMath1283.91174OpenAlexW1971484716MaRDI QIDQ2871435

Oscar Gutiérrez

Publication date: 23 January 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2013.794387

zbMATH Keywords

real optionsearly exercise premiumAmerican options pricing

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (2)

First-passage time statistics on surfaces of general shape: surface PDE solvers using generalized moving least squares (GMLS) ⋮ Asymptotics for the survival probability of time-inhomogeneous diffusion processes

Cites Work

• Sequential tests constructed from images
• On optimal stopping and free boundary problems
• The valuation of American barrier options using the decomposition technique
• Approximating the first crossing-time density for a curved boundary
• The hazard rate tangent approximation for boundary hitting times
• CRITICAL STOCK PRICE NEAR EXPIRATION
• On an integral equation for first-passage-time probability densities
• The first-passage density of the Brownian motion process to a curved boundary
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• An exact and explicit solution for the valuation of American put options

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