An explicit series approximation to the optimal exercise boundary of American put options
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Cites work
- scientific article; zbMATH DE number 1069618 (Why is no real title available?)
- A Note on a Moving Boundary Problem Arising in the American Put Option
- A new branch of solutions of boundary-layer flows over a permeable stretching plate
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- American options on assets with dividends near expiry
- An exact and explicit solution for the valuation of American put options
- An optimal stopping problem with linear reward
- CRITICAL STOCK PRICE NEAR EXPIRATION
- Extension of Goldstein's series for the Oseen drag of a sphere
- Fast numerical valuation of American, exotic and complex options
- Heat conduction in a melting solid
- Homotopy analysis of nonlinear progressive waves in deep water
- Notes on the homotopy analysis method: some definitions and theorems
- 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
- 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
- Optimal exercise boundary for an American put option
- Option pricing: A simplified approach
- Series solutions of nano boundary layer flows by means of the homotopy analysis method
- Solitary wave solutions to the Kuramoto-Sivashinsky equation by means of the homotopy analysis method
- The influence of thermal radiation on MHD flow of a second grade fluid
- Variational inequalities and the pricing of American options
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- Homotopy coiflets wavelet solution of electrohydrodynamic flows in a circular cylindrical conduit
- Homotopy analysis method for approximations of Duffing oscillator with dual frequency excitations
- A HAM-based analytic approach for physical models with an infinite number of singularities
- American put options with a finite set of exercisable time epochs
- A new comparative study between homotopy analysis transform method and homotopy perturbation transform method on a semi infinite domain
- 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
- Nonlinear hydroelastic waves traveling in a thin elastic plate floating on a two-layer fluid
- On the method of directly defining inverse mapping for nonlinear differential equations
- 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
- An efficient numerical method for pricing American put options under the CEV model
- Nonlinear hydroelastic waves beneath a floating ice sheet in a fluid of finite depth
- Series solutions of coupled Van der Pol equation by means of homotopy analysis method
- 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 option pricing under stochastic volatility
- Homotopy analysis method for nonlinear periodic oscillating equations with absolute value term
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