A new integral equation formulation for American put options

DOI10.1080/14697688.2017.1348617zbMath1400.91627OpenAlexW2747730274MaRDI QIDQ4554433

Xiaoping Lu, Xin-Jiang He, Song-Ping Zhu

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=1861&context=eispapers1

zbMATH Keywords

integral equationAmerican put optionscomputational accuracy and efficiency

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU ⋮ Perpetual cancellable American options with convertible features ⋮ A new integral equation approach for pricing American-style barrier options with rebates ⋮ Fast and accurate calculation of American option prices ⋮ Unnamed Item ⋮ A policy iteration algorithm for the American put option and free boundary control problems

Cites Work

• The Pricing of Options and Corporate Liabilities
• An inverse finite element method for pricing American options
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• Power penalty method for a linear complementarity problem arising from American option valuation
• A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Randomization and the American Put
• An exact and explicit solution for the valuation of American put options
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