A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
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Publication:3421829
DOI10.1142/S0219024906003962zbMATH Open1140.91415OpenAlexW1982202311MaRDI QIDQ3421829FDOQ3421829
Authors: Song-Ping Zhu 
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
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Derivative securities (option pricing, hedging, etc.) (91G20) Initial-boundary value problems for second-order parabolic equations (35K20)
Cites Work
- The pricing of options and corporate liabilities
- Optimal Stopping and the American Put
- On the pricing of American options
- Valuing American options by simulation: a simple least-squares approach
- Option pricing: A simplified approach
- The Mathematics of Financial Derivatives
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Randomization and the American put
- On optimal stopping and free boundary problems
- Approximations for the values of american options
- CRITICAL STOCK PRICE NEAR EXPIRATION
- Industrial mathematics. Case studies in diffusion of heat and matter
- Approximate formulae for numerical inversion of Laplace transforms
- The Quadrilaterals of Pascal's Hexagram
Cited In (39)
- A simple numerical method for pricing an American put option
- On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
- CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA
- A semi-analytic valuation of American options under a two-state regime-switching economy
- Analytical pricing of American options
- Semi-analytic valuation of stock loans with finite maturity
- Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
- Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
- Comparison of numerical and analytical approximations of the early exercise boundary of American put options
- Optimal exercise of American puts with transaction costs under utility maximization
- A new exact solution for pricing European options in a two-state regime-switching economy
- A new integral equation formulation for American put options
- Optimal exercise boundary for an American put option
- Pricing Parisian down-and-in options
- Pricing the American options: a closed-form, simple formula
- Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing
- A simple approximation formula for calculating the optimal exercise boundary of American puts
- Laplace bounds approximation for American options
- Exercisability Randomization of the American Option
- An asymptotic computational method for the nonlinear weakly singular integral models in option pricing
- An explicit series approximation to the optimal exercise boundary of American put options
- An exact and explicit solution for the valuation of American put options
- Symmetry analysis of the option pricing model with dividend yield from financial markets
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- A Longstaff and Schwartz approach to the early election problem
- Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options
- Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
- An integral equation approach for pricing American put options under regime-switching model
- Analytical approximations for the critical stock prices of American options: a performance comparison
- Laplace transform method for pricing American CEV strangles option with two free boundaries
- A new predictor-corrector scheme for valuing American puts
- An improved Barone-Adesi Whaley formula for turbulent markets
- Finite maturity margin call stock loans
- Hybrid Laplace transform and finite difference methods for pricing American options under complex models
- Fast Laplace transform methods for free-boundary problems of fractional diffusion equations
- Valuation of the American put option as a free boundary problem through a high-order difference scheme
- A HODIE finite difference scheme for pricing American options
- Valuation of American options under the CGMY model
- An analytical solution for Parisian up-and-in calls
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