CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA

DOI10.1142/S0219024907004615MaRDI QIDQ3498243zbMATH OpenOpenAlexFDO

Authors Zhiwei He, Song-Ping Zhu

Publication date 28 May 2008

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024907004615

Mathematics Subject Classification ID

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

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Cites work

• A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• CRITICAL STOCK PRICE NEAR EXPIRATION
• Optimal Stopping and the American Put
• Option pricing: A simplified approach
• Randomization and the American put
• The Quadrilaterals of Pascal's Hexagram
• Valuing American options by simulation: a simple least-squares approach

Cited in

(13)

• A PDE approximation approach for the optimal early exercise boundary of American put option
• Early exercise boundaries for American-style knock-out options
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation
• A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
• Comparison of numerical and analytical approximations of the early exercise boundary of American put options
• A simple approximation formula for calculating the optimal exercise boundary of American puts
• REFINING THE QUADRATIC APPROXIMATION FORMULA FOR AN AMERICAN OPTION
• Pricing Parisian down-and-in options
• Area estimation between the early exercise boundaries for the American put option with different local volatilities
• Analytical pricing of American options
• A new predictor-corrector scheme for valuing American puts
• An analytical solution for Parisian up-and-in calls

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