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)

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)

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• 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

(15)

• Valuation of American options by the gradient projection method
• The valuation of American passport options: a viscosity solution approach
• A note on options and bubbles under the CEV model: implications for pricing and hedging
• American option prices in a Markov chain market model
• 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
• Valuing American-style options under the CEV model: an integral representation based method
• Approximations for the values of american options
• A simple iterative method for the valuation of American options
• Optimal surrender policy for variable annuity guarantees
• An efficient numerical method for pricing American put options under the CEV model
• State-dependent fees for variable annuity guarantees
• Optimal exercise of American put options near maturity: a new economic perspective
• Valuation of American passport option using a three-time level scheme
• Optimal surrender policy for reverse mortgage loans

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