Pricing American options under Azzalini Ito-McKean skew Brownian motions

DOI10.1016/J.AMC.2023.128040MaRDI QIDQ6160632zbMATH OpenFDO

Authors S. Hussain, Hifsa Arif, Muhammad Noorullah, Athanasios A. Pantelous

Publication date 26 June 2023

Published in Applied Mathematics and Computation (Search for Journal in Brave)

zbMATH Keywords

optimal stopping problemquadratic variationskew Brownian motionAmerican option pricingnon-normal distribution

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes (60J60) Applications of game theory (91A80) Financial markets (91G15) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

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• A closed-form solution for options with stochastic volatility with applications to bond and currency options
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• American option pricing under two stochastic volatility processes
• Arbitrage in skew Brownian motion models
• Arbitrage with Fractional Brownian Motion
• DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE
• Discrete time hedging of the American option
• Estimate for the discrete time hedging error of the American option on a dividend-paying stock
• Flexible Class of Skew-Symmetric Distributions
• Hyperbolic distributions in finance
• On skew Brownian motion
• On the constructions of the skew Brownian motion
• Post-'87 crash fears in the S\&P 500 futures option market
• Pricing and simulating catastrophe risk bonds in a Markov-dependent environment
• Pricing discretely-monitored double barrier options with small probabilities of execution
• Statistical modelling of asymmetric risk in asset returns
• The pricing of options and corporate liabilities
• Valuation of American options by the gradient projection method
• Variational inequalities applied to option market problem
• “Skew-Brownian Motion” and Derived Processes

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