Some mathematical results in the pricing of American options
From MaRDI portal
Publication:4294297
Recommendations
Cites work
- scientific article; zbMATH DE number 3716008 (Why is no real title available?)
- scientific article; zbMATH DE number 3747703 (Why is no real title available?)
- A Moving Boundary Problem Arising from the Diffusion of Oxygen in Absorbing Tissue
- Optimal Stopping and the American Put
- Pricing interest-rate-derivative securities
- The pricing of options and corporate liabilities
- Variational inequalities and the pricing of American options
Cited in
(only showing first 100 items - show all)- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
- Calibration of a path-dependent volatility model: empirical tests
- A high-order deferred correction method for the solution of free boundary problems using penalty iteration, with an application to American option pricing
- A dynamic programming approach to price installment options
- Harnack inequality and maximum principle for degenerate Kolmogorov operators in divergence form
- Accuracy, robustness, and efficiency of the linear boundary condition for the Black-Scholes equations
- Accurate and efficient computations of the Greeks for options near expiry using the Black-Scholes equations
- An integral equation representation approach for valuing Russian options with a finite time horizon
- The spillover effects of biofuel policy on participation in the conservation reserve program
- A numerical analysis of variational valuation techniques for derivative securities
- Stock loan valuation based on the finite moment log-stable process
- A simple heuristic for valuing certain perpetual American-type securities
- Sharp error estimate for implicit finite element scheme for American put option
- Analysis of an uncertain volatility model
- A spectral-collocation method for pricing perpetual American puts with stochastic volatility
- Generalized lower-order penalty algorithm for solving second-order cone mixed complementarity problems
- Analysis of pricing American options on the maximum (minimum) of two risk assets
- Recent advances in numerical solution of HJB equations arising in option pricing
- A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
- A finite difference moving mesh method based on conservation for moving boundary problems
- An interior penalty method for a large-scale finite-dimensional nonlinear double obstacle problem
- On the pricing of American options
- Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
- Optimal multiple stopping models of reload options and shout options
- A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
- An upwind approach for an American and European option pricing model
- An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
- An upper bound on the value of an infinite American call option on difference and sum of two assets
- Numerically pricing American options under the generalized mixed fractional Brownian motion model
- A nonlinear partial differential equation for american options in the entire domain of the state variable
- A preconditioned two-step modulus-based matrix splitting iteration method for linear complementarity problem
- Numerical approximation of a time-fractional Black-Scholes equation
- Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function
- Probabilistic approach to free boundary problems and pricing of American options
- Analysis of the free boundary for the pricing of an American call option
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
- scientific article; zbMATH DE number 2033594 (Why is no real title available?)
- A hybrid finite difference scheme for pricing Asian options
- Convergence of the trinomial tree method for pricing European/American options
- Quintic B-spline collocation approach for solving generalized Black-Scholes equation governing option pricing
- Accurate numerical solution of initial value problems for the time dependent convection-diffusion equation
- Solving variational inequalities with a quadratic cut method: a primal-dual, Jacobian-free approach
- Monte Carlo methods for pricing financial options
- Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs
- The multigrid algorithm applied to a degenerate equation: A convergence analysis
- Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters
- The American straddle close to expiry
- Parameter estimation approach to the free boundary for the pricing of an American call option
- ON THE AMERICAN OPTION PROBLEM
- On the simulation of the American option pricing process
- Mathematical models for the pricing of American call options
- Sensitivity analysis of the optimal exercise boundary of the American put option
- A penalty method for a fractional order parabolic variational inequality governing American put option valuation
- American options and the free boundary exercise region: a PDE approach
- A robust spline collocation method for pricing American put options
- A sixth order numerical method and its convergence for generalized Black-Scholes PDE
- An integration preconditioning method for solving option pricing problems
- Asset retirement with infinitely repeated alternative replacements: harvest age and species choice in forestry
- Bounds on short cylinders and uniqueness in Cauchy problem for degenerate Kolmogorov equations
- Analysis of quadrature methods for pricing discrete barrier options
- Ratchet consumption over finite and infinite planning horizons
- Convergence analysis of a monotonic penalty method for American option pricing
- A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option
- A PDE approach to regularity of solutions to finite horizon optimal switching problems
- A practical finite difference method for the three-dimensional Black-Scholes equation
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics
- Asymptotic analysis of shout options close to expiry
- Computation and sensitivity analysis of the pricing of American call options
- Differential quadrature domain decomposition method for a class of parabolic equations
- Penalty methods for the numerical solution of American multi-asset option problems
- Two-factor convertible bonds valuation using the method of characteristics/finite elements
- A quasi-radial basis functions method for American options pricing.
- Pricing a resettable convertible bond based on decomposition method and PDE models
- Efficient numerical pricing of American options based on multiple shooting method: a PDE approach
- Finite volume methods for the valuation of American options
- Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs
- A backward Monte Carlo approach to exotic option pricing
- The pricing of the American option
- Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
- Shout options: A framework for pricing contracts which can be modified by the investor
- Penalty methods for American options with stochastic volatility
- Haar‐wavelet based approximation for pricing American options under linear complementarity formulations
- Proximal point algorithms with inertial extrapolation for quasi-convex pseudo-monotone equilibrium problems
- Illiquidity, position limits, and optimal investment for mutual funds
- A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
- A second order numerical method for the time-fractional Black-Scholes European option pricing model
- An adaptive moving mesh method for a time-fractional Black-Scholes equation
- A generalized complementarity approach to solving real option problems
- A predictor-corrector approach for pricing American options under the finite moment log-stable model
- On comparative analysis for the Black-Scholes model in the generalized fractional derivatives sense via Jafari transform
- A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets
- Numerical techniques for pricing callable bonds with notice
- Installment options close to expiry
- PDE methods for pricing barrier options
- Asymptotic analysis of American call options
- Mathematical properties of American chooser options
- Pricing stock loans with the CGMY model
- Augmented Lagrangian method applied to American option pricing
- A robust and accurate finite difference method for a generalized Black-Scholes equation
This page was built for publication: Some mathematical results in the pricing of American options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4294297)
