An alternative approach to the valuation of American options and applications

DOI10.1007/BF01536395zbMATH Open1274.91419MaRDI QIDQ375241FDOQ375241

Authors: In Joon Kim, G. George Yu 

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

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zbMATH Keywords

American optionspricing models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

Cites Work

• The pricing of options and corporate liabilities
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• Martingales and arbitrage in multiperiod securities markets
• Optimal Stopping and the American Put
• Title not available (Why is that?)
• Title not available (Why is that?)
• The pricing of the American option
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS

Cited In (15)

• A note on options and bubbles under the CEV model: implications for pricing and hedging
• The valuation of American passport options: a viscosity solution approach
• American option prices in a Markov chain market model
• Valuing American-style options under the CEV model: an integral representation based method
• An efficient numerical method for pricing American put options under the CEV model
• Valuation of American passport option using a three-time level scheme
• Optimal surrender policy for variable annuity guarantees
• Optimal exercise of American put options near maturity: a new economic perspective
• Approximations for the values of american options
• A simple iterative method for the valuation of American options
• Valuation of American options by the gradient projection method
• A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
• Valuation of a nonexpiring American option on the maximum of a risky and a riskless asset
• STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES
• Optimal surrender policy for reverse mortgage loans

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