An alternative approach to the valuation of American options and applications

DOI10.1007/BF01536395MaRDI QIDQ375241zbMATH OpenFDO

Authors In Joon Kim, G. George Yu

Publication date 29 October 2013

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

Full work available at URL https://doi.org/10.1007/BF01536395

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)

Recommendations

• On the valuation of American options
• Approximations for the values of american options
• scientific article; zbMATH DE number 2042577
• On numerical methods and the valuation of American options
• A simple iterative method for the valuation of American options
• scientific article; zbMATH DE number 1279074

Cites work

• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 3493681 (Why is no real title available?)
• scientific article; zbMATH DE number 3560404 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 3338262 (Why is no real title available?)
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Martingales and arbitrage in multiperiod securities markets
• Optimal Stopping and the American Put
• The pricing of options and corporate liabilities
• The pricing of the American option

Cited in

(17)

• A note on options and bubbles under the CEV model: implications for pricing and hedging
• State-dependent fees for variable annuity guarantees
• 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
• Enhancing accuracy for solving American CEV model with high-order compact scheme and adaptive time stepping
• Optimal exercise of American put options near maturity: a new economic perspective
• Estimating State Price Densities Implied by American Options
• 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
• Valuation of a nonexpiring American option on the maximum of a risky and a riskless asset
• A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
• Optimal surrender policy for reverse mortgage loans

This page was built for publication: An alternative approach to the valuation of American options and applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q375241)