On the pricing of American options

DOI10.1007/BF01448358zbMATH Open0699.90010MaRDI QIDQ913622FDOQ913622

Authors: Ioannis Karatzas 

Publication date: 1988

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

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zbMATH Keywords

American optionsvaluation for contingent claims

Mathematics Subject Classification ID

Portfolio theory (91G10) Stopping times; optimal stopping problems; gambling theory (60G40) Markov and semi-Markov decision processes (90C40) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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Cited In (only showing first 100 items - show all)

• The early exercise premium representation for American options on multiply assets
• Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
• The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
• An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
• Convergence of the Critical Price In the Approximation of American Options
• American option prices in a Markov chain market model
• The obstacle problem for a class of hypoelliptic ultraparabolic equations
• American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
• WORST-CASE SCENARIOS FOR AMERICAN OPTIONS
• On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
• Variational inequalities and the pricing of American options
• On the theory of option pricing
• Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
• CRITICAL STOCK PRICE NEAR EXPIRATION
• Continuously controlled options: derivatives with added flexibility
• Option pricing: A simplified approach
• Convex duality for partial hedging of American options: continuous price processes
• Free boundary and optimal stopping problems for American Asian options
• Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
• Valuing American-style options under the CEV model: an integral representation based method
• An integer programming model for pricing American contingent claims under transaction costs
• Fair valuation of participating policies with surrender options and regime switching
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Numerical methods for the pricing of swing options: a stochastic control approach
• The valuation of American call options on the minimum of two dividend-paying assets
• The representation of American options prices under stochastic volatility and jump-diffusion dynamics
• Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
• On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
• Defaultable game options in a hazard process model
• On the solution of complementarity problems arising in American options pricing
• On the convergence from discrete to continuous time in an optimal stopping problem.
• American-style derivatives. Valuation and computation.
• On backward stochastic differential equations approach to valuation of American options
• Variational inequalities in Hilbert spaces with measures and optimal stopping problems
• On perpetual American put valuation and first-passage in a regime-switching model with jumps
• ON THE AMERICAN OPTION PROBLEM
• Pricing of the American option in discrete time under proportional transaction costs
• Optimal stopping under ambiguity in continuous time
• A generalized clark representation formula, with application to optimal portfolios
• Nonparametric estimation of American options' exercise boundaries and call prices
• American Option Pricing Using Simulation and Regression: Numerical Convergence Results
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
• Empirical pricing American put options
• Labor income, borrowing constraints, and equilibrium asset prices
• The application of backward stochastic differential equation with stopping time in hedging American contingent claims
• Contingent claim valuation in a market with different interest rates
• Error estimates for the binomial approximation of American put options
• An analytic formula for the price of an American-style Asian option of floating strike type
• American options with stochastic dividends and volatility: a nonparametric investigation
• Pricing and hedging of american contingent claims in incomplete markets
• Approximations for the values of american options
• Optimal portfolio for a small investor in a market model with discontinuous prices
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
• Evaluation of American strangles
• Volatility misspecification, option pricing and superreplication via coupling
• A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
• Monte Carlo algorithms for optimal stopping and statistical learning
• The pricing of the American option
• ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS¹
• Bayesian dividend optimization and finite time ruin probabilities
• A self-exciting threshold jump-diffusion model for option valuation
• American options: the EPV pricing model
• Total risk aversion and the pricing of options
• On the use of boundary conditions for variational formulations arising in financial mathematics.
• Critical price near maturity for an American option on a dividend-paying stock.
• Strict local martingale deflators and valuing American call-type options
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
• Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
• A generalized complementarity approach to solving real option problems
• The valuation of American options for a class of diffusion processes
• Model uncertainty and the pricing of American options
• Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal Stopping and the American Put
• Hedging American contingent claims with arbitrage costs
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Discrete time stochastic multi-player competitive games with affine payoffs
• The American put with finite‐time maturity and stochastic interest rate
• Title not available (Why is that?)
• Properties of American option prices
• On the pricing of options written on the last exit time
• Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
• Semi-parametric estimation of American option prices
• Hedging using simulation: a least squares approach
• CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL
• Valuing American contingent claims when time to maturity is uncertain
• Nonconvexity of the optimal exercise boundary for an American put option on a dividend-paying asset
• An explicit finite difference approach to the pricing problems of perpetual Bermudan options
• Perpetual American put options in a level-dependent volatility model
• The American put is log-concave in the log-price
• American chooser options
• Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
• A bridge between American and European options: the ``Ameripean delayed-exercise model
• Commodity spread option with cointegration
• Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets
• Probabilistic approach to free boundary problems and pricing of American options

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