The Valuation of American Options for a Class of Diffusion Processes
From MaRDI portal
Publication:3114791
DOI10.1287/mnsc.48.7.917.2815zbMath1232.91660OpenAlexW2163353962MaRDI QIDQ3114791
Weidong Tian, Jérôme B. Detemple
Publication date: 19 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.48.7.917.2815
Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS ⋮ A generalized complementarity approach to solving real option problems ⋮ American Option Valuation with Particle Filters ⋮ A unified approach to Bermudan and barrier options under stochastic volatility models with jumps ⋮ Valuation of American strangles through an optimized lower-upper bound approach ⋮ Valuing American-style options under the CEV model: an integral representation based method ⋮ Valuing American options under the CEV model by Laplace-Carson transforms ⋮ Early exercise boundaries for American-style knock-out options ⋮ The American put with finite‐time maturity and stochastic interest rate ⋮ An implicit scheme for American put options ⋮ Pricing European Options Under Stochastic Volatilities Models ⋮ On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions ⋮ Portfolio selection problem with multiple risky assets under the constant elasticity of variance model ⋮ Pricing Options Under Time-Fractional Model Using Adomian Decomposition ⋮ A new integral equation approach for pricing American-style barrier options with rebates ⋮ The \textit{CEV} model and its application in a study of optimal investment strategy ⋮ Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model ⋮ American options and callable bonds under stochastic interest rates and endogenous bankruptcy ⋮ An efficient numerical method for pricing American put options under the CEV model ⋮ Constant elasticity of variance model for proportional reinsurance and investment strategies ⋮ Collaboration in tool development and capacity investments in high technology manufacturing networks ⋮ CTMC integral equation method for American options under stochastic local volatility models ⋮ A new method for generating approximation algorithms for financial mathematics applications ⋮ Unnamed Item ⋮ A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes ⋮ Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance ⋮ Optimal portfolios for DC pension plans under a CEV model ⋮ The early exercise boundary under the jump to default extended CEV model ⋮ Pricing and exercising American options: an asymptotic expansion approach ⋮ A closed-form solution to American options under general diffusion processes ⋮ American options and stochastic interest rates ⋮ BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS
