An exact and explicit solution for the valuation of American put options
From MaRDI portal
Publication:5484647
DOI10.1080/14697680600699811zbMATH Open1136.91468OpenAlexW2062341116MaRDI QIDQ5484647FDOQ5484647
Authors: Song-Ping Zhu 
Publication date: 21 August 2006
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680600699811
Recommendations
- An explicit series approximation to the optimal exercise boundary of American put options
- Analytical pricing of American options
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
- A closed-form solution to American options under general diffusion processes
- Evaluating approximations to the optimal exercise boundary for American options
Cites Work
- The pricing of options and corporate liabilities
- Optimal Stopping and the American Put
- Valuing American options by simulation: a simple least-squares approach
- Option pricing: A simplified approach
- The Mathematics of Financial Derivatives
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Randomization and the American put
- THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
- Analytic solutions of the temperature distribution in Blasius viscous flow problems
- Numerically solving nonlinear problems by the homotopy analysis method
- Title not available (Why is that?)
- Analytical valuation of American options on jump-diffusion processes.
Cited In (only showing first 100 items - show all)
- Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
- Exact solutions for a strike reset put option and a shout call option
- Closed form optimal exercise boundary of the American put option
- Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
- Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems
- Numerically pricing American options under the generalized mixed fractional Brownian motion model
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- Implied volatility surfaces: a comprehensive analysis using half a billion option prices
- An exact formula for pricing American exchange options with regime switching
- Approximate solutions for the British put option and its optimal exercise boundary
- A comparative analysis of local meshless formulation for multi-asset option models
- Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives
- A fast numerical method for the valuation of American lookback put options
- An exact and explicit formula for pricing lookback options with regime switching
- The generalized Cauchy problem for the price of an American put option.
- Optimal exercise of American puts with transaction costs under utility maximization
- An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options
- Two-parameter homotopy method for nonlinear equations
- Computation of the effects of uncertainty in volatility on option pricing and hedging
- Pricing Parisian down-and-in options
- American option valuation using first-passage densities
- Pricing the American options: a closed-form, simple formula
- A simple approximation formula for calculating the optimal exercise boundary of American puts
- Valuation of American strangles through an optimized lower-upper bound approach
- A Longstaff and Schwartz approach to the early election problem
- A modified analytical approach for fractional discrete KdV equations arising in particle vibrations
- An explicit analytic formula for pricing barrier options with regime switching
- Pricing and hedging american options analytically: a perturbation method
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- Valuation of a nonexpiring American option on the maximum of a risky and a riskless asset
- Explicit formula for the valuation of catastrophe put option with exponential jump and default risk
- Analytic-approximate solution for a class of nonlinear optimal control problems by homotopy analysis method
- Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory
- Predictor homotopy analysis method: two points second order boundary value problems
- Avoiding Small Denominator Problems by Means of the Homotopy Analysis Method
- Truncation and acceleration of the Tian tree for the pricing of American put options
- Optimal exercise price of American options near expiry
- Direct computation for American put option and free boundary using finite difference method
- Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact
- Do peaked solitary water waves indeed exist?
- Title not available (Why is that?)
- Adaptive implicit finite difference for American options
- Projection and contraction method for the valuation of American options
- American put option: Richardson's extrapolation and a posteriori error estimator for a front-fixing finite difference scheme
- A restarted iterative homotopy analysis method for two nonlinear models from image processing
- Valuation of the American put option as a free boundary problem through a high-order difference scheme
- Pricing the American options using the Black-Scholes pricing formula
- Mortgage valuation: a quasi-closed-form solution
- Application of homotopy analysis method to option pricing under Lévy processes
- An analytical solution for Parisian up-and-in calls
- A semi-analytic pricing formula for lookback options under a general stochastic volatility model
- Slip flow and heat transfer of a second grade fluid past a stretching sheet through a porous space
- Explicit solution to the exact Riemann problem and application in nonlinear shallow‐water equations
- An approximate moving boundary method for American option pricing
- Analysis of a time fractional wave-like equation with the homotopy analysis method
- Limitations and improvements of standard spectral methods for pricing standard options
- Unsteady non-similarity boundary-layer flows caused by an impulsively stretching flat sheet
- On analytic solution for generalized three-dimensional MHD flow over a porous stretching sheet
- MHD rotating flow of a viscous fluid over a shrinking surface
- SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
- On the analytical solution of viscous fluid flow past a flat plate
- Mixed convection in the stagnation point flow adjacent to a vertical surface in a viscoelastic fluid
- A simple numerical method for pricing an American put option
- The application of homotopy analysis method to thin film flows of a third order fluid
- MHD flow of a micropolar fluid near a stagnation-point towards a nonlinear stretching surface
- Analytical pricing of American options
- Semi-analytic valuation of stock loans with finite maturity
- Some exact solutions of the fin problem with a power law temperature-dependent thermal conductivity
- A general approach to get series solution of non-similarity boundary-layer flows
- An analytical solution for a nonlinear time-delay model in biology
- Notes on the homotopy analysis method: some definitions and theorems
- Mathematical properties of \(\hbar\)-curve in the frame work of the homotopy analysis method
- Homotopy analysis for boundary layer flow of a micropolar fluid through a porous channel
- MHD stagnation-point flow of an upper-convected Maxwell fluid over a stretching surface
- On the use of homotopy analysis method for solving unsteady MHD flow of Maxwellian fluids above impulsively stretching sheets
- The application of homotopy analysis method for MHD viscous flow due to a shrinking sheet
- An optimal homotopy-analysis approach for strongly nonlinear differential equations
- A new integral equation formulation for American put options
- Unsteady flow of a second grade fluid film over an unsteady stretching sheet
- Shrinking flow of second grade fluid in a rotating frame: an analytic solution
- Solving famous nonlinear coupled equations with parameters derivative by homotopy analysis method
- Series solutions of coupled Van der Pol equation by means of homotopy analysis method
- Homotopy analysis method for option pricing under stochastic volatility
- A closed-form solution to American options under general diffusion processes
- Series solutions of non-linear Riccati differential equations with fractional order
- A new analytical technique to solve Fredholm's integral equations
- Series solution to the Thomas-Fermi equation
- The explicit series solution of SIR and SIS epidemic models
- Laplace bounds approximation for American options
- Heat transfer analysis on the MHD flow of a second grade fluid in a channel with porous medium
- \(hp\)-adaptive IPDG/TDG-FEM for parabolic obstacle problems
- Exercisability Randomization of the American Option
- On the acceleration of explicit finite difference methods for option pricing
- Homotopy solution for nonlinear differential equations in wave propagation problems
- An explicit series approximation to the optimal exercise boundary of American put options
- A spectral method for the electrohydrodynamic flow in a circular cylindrical conduit
- An analytic formula for the price of an American-style Asian option of floating strike type
- Symmetry analysis of the option pricing model with dividend yield from financial markets
- Radiation effects on MHD flow in a porous space
- Series solutions of nano boundary layer flows by means of the homotopy analysis method
This page was built for publication: An exact and explicit solution for the valuation of American put options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5484647)
