On some generalized American style derivatives

DOI10.1007/S40314-024-02625-6MaRDI QIDQ6537148zbMATH OpenFDO

Authors Tsvetelin S. Zaevski

Publication date 14 May 2024

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

zbMATH Keywords

optimal boundariesAmerican derivativesperpetual derivativesdividend ratesfinite maturitiespower payment functions

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Free boundary problems for PDEs (35R35) Martingales with continuous parameter (60G44)

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Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• scientific article; zbMATH DE number 973941 (Why is no real title available?)
• A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
• A new approach for pricing discounted American options
• A note on the never-early-exercise region of American power exchange options
• A two-grid penalty method for American options
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• American strangle options
• An efficient computational algorithm for pricing European, barrier and American options
• An efficient numerical method for the valuation of American multi-asset options
• Boundary crossing probability for Brownian motion and general boundaries
• Laplace transforms for the first hitting time of a Brownian motion
• Optimal Stopping and the American Put
• Optimal exercise of American put options near maturity: a new economic perspective
• Optimal stopping problems for Brownian motion
• Optimal stopping, free boundary, and American option in a jump-diffusion model
• Perpetual game options with a multiplied penalty
• Semi-implicit FEM for the valuation of American options under the Heston model
• The pricing of options and corporate liabilities
• Using a meshless kernel-based method to solve the Black-Scholes variational inequality of American options
• Valuation of American strangle option: variational inequality approach
• Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
• Values of Mills' ratio of area to bounding ordinate and of the normal probability integral for large values of the argument.

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