An explicit series approximation to the optimal exercise boundary of American put options
From MaRDI portal
Publication:718216
DOI10.1016/J.CNSNS.2009.05.055zbMATH Open1221.91053OpenAlexW1996285408MaRDI QIDQ718216FDOQ718216
Authors: Jun Cheng, Song-Ping Zhu, Shijun Liao 
Publication date: 23 September 2011
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2009.05.055
Recommendations
- An exact and explicit solution for the valuation of American put options
- Evaluating approximations to the optimal exercise boundary for American options
- Analytical pricing of American options
- A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
Cites Work
- Variational inequalities and the pricing of American options
- Option pricing: A simplified approach
- Notes on the homotopy analysis method: some definitions and theorems
- Homotopy analysis of nonlinear progressive waves in deep water
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- An exact and explicit solution for the valuation of American put options
- Heat conduction in a melting solid
- A new branch of solutions of boundary-layer flows over a permeable stretching plate
- The influence of thermal radiation on MHD flow of a second grade fluid
- Series solutions of nano boundary layer flows by means of the homotopy analysis method
- An optimal stopping problem with linear reward
- On exact solution of Laplace equation with Dirichlet and Neumann boundary conditions by the homotopy analysis method
- On the interaction of deep water waves and exponential shear currents
- CRITICAL STOCK PRICE NEAR EXPIRATION
- Optimal exercise boundary for an American put option
- American options on assets with dividends near expiry
- On the optimal exercise boundary for an American put option
- On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
- A Note on a Moving Boundary Problem Arising in the American Put Option
- Solitary wave solutions to the Kuramoto-Sivashinsky equation by means of the homotopy analysis method
- Title not available (Why is that?)
- Fast numerical valuation of American, exotic and complex options
- Extension of Goldstein's series for the Oseen drag of a sphere
Cited In (25)
- A semi-analytic pricing formula for lookback options under a general stochastic volatility model
- Homotopy analysis method for approximations of Duffing oscillator with dual frequency excitations
- Time-delay feedback control of a cantilever beam with concentrated mass based on the homotopy analysis method
- Evaluating approximations to the optimal exercise boundary for American options
- Analytical pricing of American options
- New analytical method for gas dynamics equation arising in shock fronts
- Semi-analytic valuation of stock loans with finite maturity
- A HAM-based analytic approach for physical models with an infinite number of singularities
- An efficient numerical method for pricing American put options under the CEV model
- On the method of directly defining inverse mapping for nonlinear differential equations
- Series solutions of coupled Van der Pol equation by means of homotopy analysis method
- Homotopy analysis method for option pricing under stochastic volatility
- American put options with a finite set of exercisable time epochs
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
- An exact and explicit solution for the valuation of American put options
- Homotopy coiflets wavelet solution of electrohydrodynamic flows in a circular cylindrical conduit
- Efficient numerical pricing of American options based on multiple shooting method: a PDE approach
- A modified analytical approach for fractional discrete KdV equations arising in particle vibrations
- Homotopy analysis method for nonlinear periodic oscillating equations with absolute value term
- A homotopy series solution to a nonlinear partial differential equation arising from a mathematical model of the counter-current imbibition phenomenon in a heterogeneous porous medium
- On the homotopy analysis method for backward/forward-backward stochastic differential equations
- A new comparative study between homotopy analysis transform method and homotopy perturbation transform method on a semi infinite domain
- Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact
- Nonlinear hydroelastic waves traveling in a thin elastic plate floating on a two-layer fluid
- Nonlinear hydroelastic waves beneath a floating ice sheet in a fluid of finite depth
This page was built for publication: An explicit series approximation to the optimal exercise boundary of American put options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q718216)
