Computational methods for pricing American put options
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Publication:850830
DOI10.1007/S10957-005-6551-8zbMATH Open1116.91046OpenAlexW2023258166MaRDI QIDQ850830FDOQ850830
Authors: Q. Zhang, Yuanjin Liu, G. Yin 
Publication date: 6 November 2006
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-005-6551-8
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regime switchingstochastic optimizationboundary-value problemsstochastic approximationsAmerican put options
Cites Work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Stock trading: an optimal selling rule
- AMERICAN OPTIONS WITH REGIME SWITCHING
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Valuing American options by simulation: a simple least-squares approach
- Closed-Form Solutions for Perpetual American Put Options with Regime Switching
- Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
Cited In (8)
- A viscosity solution method for optimal stopping problems with regime switching
- A simple numerical method for pricing an American put option
- Title not available (Why is that?)
- Computational methods for option replication
- A stochastic approximation algorithm for American lookback put options
- Accurate numerical method for pricing two-asset American put options
- From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes
- Using computational methodology to price European options with actual payoff distributions
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