Some mathematical results in the pricing of American options
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Publication:4294297
DOI10.1017/S0956792500001194zbMATH Open0797.60051OpenAlexW2077177053MaRDI QIDQ4294297FDOQ4294297
Authors: J. N. Dewynne, I. Rupf, Paul Wilmott, S. D. Howison 
Publication date: 10 October 1994
Published in: European Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0956792500001194
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial-boundary value problems for second-order parabolic equations (35K20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
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- Optimal Stopping and the American Put
- Variational inequalities and the pricing of American options
- A Moving Boundary Problem Arising from the Diffusion of Oxygen in Absorbing Tissue
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 dynamic programming approach to price installment options
- An integral equation representation approach for valuing Russian options with a finite time horizon
- A numerical analysis of variational valuation techniques for derivative securities
- A simple heuristic for valuing certain perpetual American-type securities
- Generalized lower-order penalty algorithm for solving second-order cone mixed complementarity problems
- Analysis of an uncertain volatility model
- Analysis of pricing American options on the maximum (minimum) of two risk assets
- A spectral-collocation method for pricing perpetual American puts with stochastic volatility
- 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
- Optimal multiple stopping models of reload options and shout options
- An upwind finite difference method for a nonlinear Black-Scholes equation governing European option valuation under transaction costs
- A nonlinear partial differential equation for american options in the entire domain of the state variable
- An upwind approach for an American and European option pricing model
- An upper bound on the value of an infinite American call option on difference and sum of two assets
- Numerical approximation of a time-fractional Black-Scholes equation
- 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
- 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
- A hybrid finite difference scheme for pricing Asian options
- ON THE AMERICAN OPTION PROBLEM
- An integration preconditioning method for solving option pricing problems
- American options and the free boundary exercise region: a PDE approach
- 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
- Analysis of quadrature methods for pricing discrete barrier options
- Convergence analysis of a monotonic penalty method for American option pricing
- Ratchet consumption over finite and infinite planning horizons
- 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
- 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.
- Shout options: A framework for pricing contracts which can be modified by the investor
- Penalty approach to a nonlinear obstacle problem governing American put option valuation under transaction costs
- The pricing of the American option
- Valuing American floating strike lookback option and Neumann problem for inhomogeneous Black-Scholes equation
- Penalty methods for American options with stochastic volatility
- A cubic B-spline collocation method for a numerical solution of the generalized Black-Scholes equation
- Illiquidity, position limits, and optimal investment for mutual funds
- A generalized complementarity approach to solving real option problems
- A predictor-corrector approach for pricing American options under the finite moment log-stable model
- Numerical techniques for pricing callable bonds with notice
- A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets
- PDE methods for pricing barrier options
- Installment options close to expiry
- Asymptotic analysis of American call options
- Augmented Lagrangian method applied to American option pricing
- A robust and accurate finite difference method for a generalized Black-Scholes equation
- Operator splitting methods for American option pricing.
- Finite difference scheme with a moving mesh for pricing Asian options
- Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
- Title not available (Why is that?)
- A stochastic delay model for pricing debt and equity: numerical techniques and applications
- Optimal impulse control for a multidimensional cash management system with generalized cost functions
- Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
- A numerical strategy for telecommunications networks capacity planning under demand and price uncertainty
- A general preconditioner for linear complementarity problem with an \(M\)-matrix
- Spectral method for differential equations of degenerate type on unbounded domains by using generalized Laguerre functions
- A power penalty approach to a nonlinear complementarity problem
- Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
- The valuation of unit-linked policies with or without surrender options
- Implicit-explicit Runge-Kutta methods for financial derivatives pricing models
- Accurate and efficient pricing of vanilla stock options via the Crandall-Douglas scheme.
- Adaptive \(\theta \)-methods for pricing American 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
- The spillover effects of biofuel policy on participation in the conservation reserve program
- Stock loan valuation based on the finite moment log-stable process
- Sharp error estimate for implicit finite element scheme for American put option
- Recent advances in numerical solution of HJB equations arising in option pricing
- Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
- A fast preconditioned policy iteration method for solving the tempered fractional HJB equation governing American options valuation
- Numerically pricing American options under the generalized mixed fractional Brownian motion model
- A preconditioned two-step modulus-based matrix splitting iteration method for linear complementarity problem
- 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
- Title not available (Why is that?)
- 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
- Mathematical models for the pricing of American call options
- 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 simulation of the American option pricing process
- A robust spline collocation method for pricing American put options
- A sixth order numerical method and its convergence for generalized Black-Scholes PDE
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