Alternative randomization for valuing American options
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Publication:3566765
DOI10.1142/S0217595910002624zbMATH Open1231.91436MaRDI QIDQ3566765FDOQ3566765
Authors: Toshikazu Kimura 
Publication date: 10 June 2010
Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)
Recommendations
- Exercisability Randomization of the American Option
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Cites Work
- The pricing of options and corporate liabilities
- A jump-diffusion model for option pricing
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- Optimal Stopping and the American Put
- What is the Laplace Transform?
- On the pricing of American options
- Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion
- Valuing American options by simulation: a simple least-squares approach
- Valuing continuous-installment options
- Valuing finite-lived Russian options
- The Fourier-series method for inverting transforms of probability distributions
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
- An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
- Randomization and the American put
- Optimal stopping and free boundary problems
- American continuous-installment options: valuation and premium decomposition
- On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
- Title not available (Why is that?)
Cited In (9)
- An integral equation representation approach for valuing Russian options with a finite time horizon
- Parisian options with jumps: a maturity-excursion randomization approach
- Variable annuity with a surrender option under multiscale stochastic volatility
- Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
- Exercisability Randomization of the American Option
- Intra‐Horizon expected shortfall and risk structure in models with jumps
- Randomization and the American put
- Maturity randomization for stochastic control problems
- Randomized binomial tree and pricing of American-style options
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