A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
From MaRDI portal
Publication:3421829
DOI10.1142/S0219024906003962zbMath1140.91415OpenAlexW1982202311MaRDI QIDQ3421829
Publication date: 8 February 2007
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024906003962
Initial-boundary value problems for second-order parabolic equations (35K20) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (32)
Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function ⋮ LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS ⋮ A simple numerical method for pricing an American put option ⋮ Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing ⋮ A new integral equation formulation for American put options ⋮ A semi-analytic valuation of American options under a two-state regime-switching economy ⋮ A new exact solution for pricing European options in a two-state regime-switching economy ⋮ Laplace transform methods for a free boundary problem of time-fractional partial differential equation system ⋮ A Longstaff and Schwartz approach to the early election problem ⋮ CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA ⋮ Symmetry analysis of the option pricing model with dividend yield from financial markets ⋮ A new predictor-corrector scheme for valuing American puts ⋮ Haar‐wavelet based approximation for pricing American options under linear complementarity formulations ⋮ Semi-analytic valuation of stock loans with finite maturity ⋮ An integral equation approach for pricing American put options under regime-switching model ⋮ Fast Laplace transform methods for free-boundary problems of fractional diffusion equations ⋮ Exercisability Randomization of the American Option ⋮ Hybrid Laplace transform and finite difference methods for pricing American options under complex models ⋮ AN ANALYTICAL SOLUTION FOR PARISIAN UP-AND-IN CALLS ⋮ Valuation of the American put option as a free boundary problem through a high-order difference scheme ⋮ Unnamed Item ⋮ A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility ⋮ Laplace transform method for pricing American CEV strangles option with two free boundaries ⋮ On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models ⋮ COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS ⋮ A HODIE finite difference scheme for pricing American options ⋮ Optimal exercise of American puts with transaction costs under utility maximization ⋮ A simple approximation formula for calculating the optimal exercise boundary of American puts ⋮ Analytical approximations for the critical stock prices of American options: a performance comparison ⋮ Finite maturity margin call stock loans ⋮ An improved Barone-Adesi Whaley formula for turbulent markets ⋮ Pricing Parisian down-and-in options
Cites Work
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- On the pricing of American options
- On optimal stopping and free boundary problems
- CRITICAL STOCK PRICE NEAR EXPIRATION
- Approximations for the values of american options
- Approximate formulae for numerical inversion of Laplace transforms
- Optimal Stopping and the American Put
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- The Mathematics of Financial Derivatives
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Randomization and the American Put
- Option pricing: A simplified approach
- The Quadrilaterals of Pascal's Hexagram
This page was built for publication: A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
