Penalty American options

DOI10.1142/S0219024919500018MaRDI QIDQ4631697zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 2172775 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• American options on assets with dividends near expiry
• CRITICAL STOCK PRICE NEAR EXPIRATION
• Installment options close to expiry
• Pricing and hedging american options analytically: a perturbation method
• The Mathematics of Financial Derivatives
• The pricing of options and corporate liabilities

Cited in

(6)

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

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