An Interpolation-Based Approach to American Put Option Pricing

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

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)

Cites Work

• Title not available (Why is that?)
• The pricing of options and corporate liabilities
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• A new stopping time model: a solution to a free-boundary problem
• Quantitative Finance

Cited In (2)

• Arbitrage-free interpolation of call option prices
• A new predictor-corrector scheme for valuing American puts

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