An interpolation-based approach to American put option pricing

DOI10.1007/978-3-319-46310-0_10zbMATH Open1364.91149OpenAlexW2580775825MaRDI QIDQ5268909FDOQ5268909

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

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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)

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
• Title not available (Why is that?)
• Option pricing when underlying stock returns are discontinuous
• A new stopping time model: a solution to a free-boundary problem
• Quantitative Finance

Cited In (3)

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

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