CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA
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Publication:3498243
DOI10.1142/S0219024907004615zbMATH Open1153.91581OpenAlexW2108389773MaRDI QIDQ3498243FDOQ3498243
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
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Cites Work
- Optimal Stopping and the American Put
- Valuing American options by simulation: a simple least-squares approach
- Option pricing: A simplified approach
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Randomization and the American put
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
- CRITICAL STOCK PRICE NEAR EXPIRATION
- The Quadrilaterals of Pascal's Hexagram
Cited In (13)
- Analytical pricing of American options
- Comparison of numerical and analytical approximations of the early exercise boundary of American put options
- Pricing Parisian down-and-in options
- A simple approximation formula for calculating the optimal exercise boundary of American puts
- A PDE approximation approach for the optimal early exercise boundary of American put option
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- REFINING THE QUADRATIC APPROXIMATION FORMULA FOR AN AMERICAN OPTION
- Early exercise boundaries for American-style knock-out options
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
- A new predictor-corrector scheme for valuing American puts
- Area estimation between the early exercise boundaries for the American put option with different local volatilities
- Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation
- An analytical solution for Parisian up-and-in calls
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