Evaluation of American strangles
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Publication:953735
DOI10.1016/J.JEDC.2003.04.010zbMath1202.91315OpenAlexW2055787797MaRDI QIDQ953735
Publication date: 6 November 2008
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10453/5117
Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Systems of nonsingular linear integral equations (45F05)
Related Items (20)
LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS ⋮ Stabilized explicit Runge-Kutta methods for multi-asset American options ⋮ Valuation of American strangles through an optimized lower-upper bound approach ⋮ American continuous-installment options of barrier type ⋮ Analytical pricing of American options ⋮ An integral equation approach for optimal investment policies with partial reversibility ⋮ Laplace transform method for pricing American CEV strangles option with two free boundaries ⋮ Minimum return guarantees with fund switching rights -- an optimal stopping problem ⋮ American Strangle Options ⋮ The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost ⋮ MATHEMATICAL PROPERTIES OF AMERICAN CHOOSER OPTIONS ⋮ Valuation of American strangle option: variational inequality approach ⋮ Analytic solution for American strangle options using Laplace-Carson transforms ⋮ American option pricing under stochastic volatility: an efficient numerical approach ⋮ American chooser options ⋮ Pricing variable annuity with surrender guarantee ⋮ American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach ⋮ Lattice methods for pricing American strangles with two-dimensional stochastic volatility models ⋮ Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon ⋮ A method-of-lines approach for solving American option problems
Cites Work
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- The Pricing of Options and Corporate Liabilities
- On the pricing of American options
- An optimal stopping problem with linear reward
- On optimal stopping and free boundary problems
- Laplace transforms and the American straddle
- Free boundary problem for the heat equation with applications to problems of change of phase. I. General method of solution
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
- Optimal Stopping and the American Put
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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