A new integral equation formulation for American put options
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Publication:4554433
DOI10.1080/14697688.2017.1348617zbMATH Open1400.91627OpenAlexW2747730274MaRDI QIDQ4554433FDOQ4554433
Authors: Xin-Jiang He, Xiaoping Lu, 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
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Cites Work
- The pricing of options and corporate liabilities
- 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
- Power penalty method for a linear complementarity problem arising from American option valuation
- An inverse finite element method for pricing American options
- A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- An exact and explicit solution for the valuation of American put options
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- Randomization and the American put
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
- Title not available (Why is that?)
- Nonconvexity of the optimal exercise boundary for an American put option on a dividend-paying asset
- Title not available (Why is that?)
Cited In (15)
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
- A policy iteration algorithm for the American put option and free boundary control problems
- Perpetual cancellable American options with convertible features
- Integral transforms and American options: Laplace and Mellin go Green
- Pricing puttable convertible bonds with integral equation approaches
- A generalized integral equation formulation for pricing American options under regime-switching model
- A new integral equation approach for pricing American-style barrier options with rebates
- The valuation of American options with the stochastic liquidity risk and jump risk
- An integral representation and computation for the solution of American options
- An asymptotic computational method for the nonlinear weakly singular integral models in option pricing
- Title not available (Why is that?)
- A new algorithm of the optimal exercise boundary for pricing American options based on Simpson formula
- A new predictor-corrector scheme for valuing American puts
- An integral equation for American put options on assets with general dividend processes
- Fast and accurate calculation of American option prices
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