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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• Optimal Stopping of a Markov Process

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

• 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
• Portfolios of American options under general preferences: results and counterexamples
• Comparison of numerical and analytical approximations of the early exercise boundary of American put options
• Pricing contingent claims in incomplete markets when the holder can choose among different payoffs.
• American option valuation using first-passage densities
• On the simulation of the American option pricing process
• A semigroup approach to American options
• A Note on the Pricing of American Options
• American put options with a finite set of exercisable time epochs
• American option pricing under financial crisis
• Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing
• American options in nonlinear markets
• Synthetic replication of American contingent claims when portfolios are constrained
• Supermartingale decomposition theorem under \(G\)-expectation
• Exercise boundary of American-style Asian option
• Bermudan options pricing formulas in uncertain financial markets
• CHANGE OF NUMÉRAIRE AND AMERICAN OPTIONS
• Early exercise boundaries for American-style knock-out options
• Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options
• Recombining tree approximations for optimal stopping for diffusions
• American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
• The pricing problem for a class of permanent American option
• An optimal stopping problem with a reward constraint
• Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model
• A survey on American options: old approaches and new trends
• The early exercise boundary under the jump to default extended CEV model
• American options with discontinuous two-level caps
• Long-term optimal portfolios with floor
• A penalty method for American multi-asset option problems
• Optimal trading of stock options under alternative strategy
• American step options
• Pricing and exercising American options: an asymptotic expansion approach
• American prices embedded in European prices
• A Martingale Representation Result and an Application to Incomplete Financial Markets
• ATTAINABLE CLAIMS IN A MARKOV MARKET
• Convex order for path-dependent derivatives: a dynamic programming approach
• A unified framework for stochastic optimization
• Alternative randomization for valuing American options
• 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

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