ALTERNATIVE RANDOMIZATION FOR VALUING AMERICAN OPTIONS

DOI10.1142/S0217595910002624zbMath1231.91436MaRDI QIDQ3566765

Toshikazu Kimura

Publication date: 10 June 2010

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

zbMATH Keywords

Laplace transformsrandomizationAmerican optionsGaver-Stehfest methodCanadian options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (5)

Geometric step options and Lévy models: duality, pides, and semi-analytical pricing ⋮ Intra‐Horizon expected shortfall and risk structure in models with jumps ⋮ 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

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