An improved method for pricing and hedging long dated American options

DOI10.1016/J.EJOR.2016.04.002MaRDI QIDQ323396zbMATH OpenOpenAlexFDO

Authors Tommaso Paletta, Silvia Stanescu, Frank J. Fabozzi, Radu Tunaru

Publication date 7 October 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL http://sro.sussex.ac.uk/id/eprint/89689/1/__smbhome.uscs.susx.ac.uk_tjk30_Documents_paper_Feb16-RR.pdf

zbMATH Keywords

American optionsdelta-hedgingLEAPSoptimal exercise pricequasi-analytic method

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1069621 (Why is no real title available?)
• A componentwise splitting method for pricing American options under the Bates model
• A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
• A simple iterative method for the valuation of American options
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• An approximate moving boundary method for American option pricing
• Analytical approximations for the critical stock prices of American options: a performance comparison
• Characterization of the American put option using convexity
• Convexity of the optimal stopping boundary for the American put option
• IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS
• Optimal Stopping and the American Put
• Optimal hedging of American options in discrete time
• Option pricing: A simplified approach
• Pricing American-style derivatives with European call options
• Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
• Robust pricing of the American put option: a note on Richardson extrapolation and the early exercise premium
• THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
• The evaluation of American options in a stochastic volatility model with jumps: an efficient finite element approach
• The implication of missing the optimal-exercise time of an American option

Cited in

(6)

• The risk premium that never was: a fair value explanation of the volatility spread
• Multivariate FX models with jumps: triangles, quantos and implied correlation
• An improved least squares Monte Carlo valuation method based on heteroscedasticity
• A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
• VIX derivatives, hedging and vol-of-vol risk
• Fast and accurate calculation of American option prices

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