An interpolation-based approach to American put option pricing

DOI10.1007/978-3-319-46310-0_10MaRDI QIDQ5268909zbMATHOpenAlexFDO

Authors Greg Orosi

Publication date 21 June 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-46310-0_10

zbMATH Keywords

American optionarbitrage-free conditionsput option

Mathematics Subject Classification ID

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

Recommendations

• A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
• No-arbitrage interpolation of the option price function and its reformulation
• An efficient binomial method for pricing American options
• Model-independent no-arbitrage conditions on American put options
• Arbitrage-free interpolation of call option prices

Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A new stopping time model: a solution to a free-boundary problem
• Option pricing when underlying stock returns are discontinuous
• Quantitative Finance
• The pricing of options and corporate liabilities

Cited in

(3)

• Arbitrage-free interpolation of call option prices
• No-arbitrage interpolation of the option price function and its reformulation
• A new predictor-corrector scheme for valuing American puts

This page was built for publication: An interpolation-based approach to American put option pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5268909)