Alternative randomization for valuing American options

DOI10.1142/S0217595910002624MaRDI QIDQ3566765zbMATH OpenFDO

Authors Toshikazu Kimura

Publication date 10 June 2010

Published in Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

randomizationAmerican optionsLaplace transformsGaver-Stehfest methodCanadian options

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3430330 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• A jump-diffusion model for option pricing
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• ANALYTICAL PRICING OF DOUBLE-BARRIER OPTIONS UNDER A DOUBLE-EXPONENTIAL JUMP DIFFUSION PROCESS: APPLICATIONS OF LAPLACE TRANSFORM
• American continuous-installment options: valuation and premium decomposition
• An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
• Comparison of sequence accelerators for the Gaver method of numerical Laplace transform inversion
• On the pricing of American options
• On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
• Optimal Stopping and the American Put
• Optimal stopping and free boundary problems
• Randomization and the American put
• The Fourier-series method for inverting transforms of probability distributions
• The pricing of options and corporate liabilities
• Valuing American options by simulation: a simple least-squares approach
• Valuing continuous-installment options
• Valuing finite-lived Russian options
• What is the Laplace Transform?

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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