Penalty American options

DOI10.1142/S0219024919500018zbMATH Open1411.91566OpenAlexW2909635129MaRDI QIDQ4631697FDOQ4631697

Authors: Ziwei Ke, Joanna Goard 

Publication date: 18 April 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024919500018

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zbMATH Keywords

option pricingoptimal exercise boundarypenalty American option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• The pricing of options and corporate liabilities
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• Title not available (Why is that?)
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• The Mathematics of Financial Derivatives
• CRITICAL STOCK PRICE NEAR EXPIRATION
• Title not available (Why is that?)
• American options on assets with dividends near expiry
• Installment options close to expiry
• Pricing and hedging american options analytically: a perturbation method

Cited In (6)

• The effect of nonsmooth payoffs on the penalty approximation of American options
• A bridge between American and European options: the ``Ameripean delayed-exercise model
• The implication of missing the optimal-exercise time of an American option
• The randomized American option as a classical solution to the penalized problem
• Penalty methods for the numerical solution of American multi-asset option problems
• Intensity-based framework and penalty formulation of optimal stopping problems

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