American option pricing under financial crisis

DOI10.1002/ASMB.2310MaRDI QIDQ4620243zbMATH OpenOpenAlexFDO

Authors Xuemei Luo, Kaili Xiang, Chuan Ding

Publication date 8 February 2019

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.2310

zbMATH Keywords

American optionpenalty methodfinancial crisis

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(7)

• Effect of institutional deleveraging on option valuation problems
• Efficient option pricing in crisis based on dynamic elasticity of variance model
• Post-'87 crash fears in the S\&P 500 futures option market
• A homotopy analysis method for the option pricing PDE in post-crash markets
• An improved Barone-Adesi Whaley formula for turbulent markets
• No-armageddon measure for arbitrage-free pricing of index options in a credit crisis
• Unlocking the black box: non-parametric option pricing before and during COVID-19

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