Pricing American options under Azzalini Ito-McKean skew Brownian motions
From MaRDI portal
Publication:6160632
DOI10.1016/J.AMC.2023.128040MaRDI QIDQ6160632
Athanasios A. Pantelous, Sultan Hussain, Muhammad Noorullah, Hifsa Arif
Publication date: 26 June 2023
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
American option pricingquadratic variationskew Brownian motionoptimal stopping problemnon-normal distribution
Applications of game theory (91A80) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- American option pricing under two stochastic volatility processes
- Variational inequalities applied to option market problem
- On the constructions of the skew Brownian motion
- On skew Brownian motion
- Pricing and simulating catastrophe risk bonds in a Markov-dependent environment
- Hyperbolic distributions in finance
- Post-'87 crash fears in the S\&P 500 futures option market
- Pricing discretely-monitored double barrier options with small probabilities of execution
- Valuation of American options by the gradient projection method
- Arbitrage in skew Brownian motion models
- DISCRETE TIME HEDGING OF THE AMERICAN OPTION
- “Skew-Brownian Motion” and Derived Processes
- Estimate for the discrete time hedging error of the American option on a dividend-paying stock
- Arbitrage with Fractional Brownian Motion
- Flexible Class of Skew-Symmetric Distributions
- Statistical modelling of asymmetric risk in asset returns
- DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- A high order finite element scheme for pricing options under regime switching jump diffusion processes
This page was built for publication: Pricing American options under Azzalini Ito-McKean skew Brownian motions
