Approximations for the values of american options

DOI10.1080/07362999108809230zbMath0729.60056OpenAlexW2076508013MaRDI QIDQ3353912

Giovanni Barone-Adesi, Robert J. Elliott

Publication date: 1991

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999108809230

zbMATH Keywords

free boundaryAmerican option valuation problem

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

Laplace transforms and American options ⋮ Compact finite difference method for American option pricing ⋮ Optimal exercise boundary for an American put option ⋮ Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters ⋮ CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET ⋮ A new predictor-corrector scheme for valuing American puts ⋮ Fast and accurate calculation of American option prices ⋮ On the behaviour near expiry for multi-dimensional American options ⋮ NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET ⋮ American option prices in a Markov chain market model ⋮ Analytical approximations for the critical stock prices of American options: a performance comparison ⋮ The homotopy perturbation method for the Black–Scholes equation ⋮ An improved Barone-Adesi Whaley formula for turbulent markets ⋮ A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and stochastic integrals in the theory of continuous trading