scientific article; zbMATH DE number 6613079

MaRDI QIDQ2990639zbMATH OpenFDO

Authors Yuanjun Cen, Fahuai Yi

Publication date 10 August 2016

zbMATH Keywords

option pricingoptimal exercise boundarystandard American options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

• A Numerical Approach for the American Call Option Pricing Model
• Mathematical models for the pricing of American call options
• Pricing American call options under a hard-to-borrow stock model
• A pricing analysis of American option with callable feature
• American call option with stochastic market model
• Pricing of American call options under the Lévy model with stochastic volatility
• Computation and sensitivity analysis of the pricing of American call options
• Pricing American-style derivatives with European call options
• A pricing model for American options with Gaussian interest rates

Cited in

(1)

• Mathematical properties of American chooser options

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2990639)