Analytical approximations for the critical stock prices of American options: a performance comparison
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Cites work
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- American options on assets with dividends near expiry
- American-style derivatives. Valuation and computation.
- An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility
- An exact and explicit solution for the valuation of American put options
- Approximate inversion of the Black-Scholes formula using rational functions
- Approximations for the values of american options
- scientific article; zbMATH DE number 1069621 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- New insights on testing the efficiency of methods of pricing and hedging American options
- On optimal stopping and free boundary problems
- Optimal Stopping and the American Put
- Option pricing: A simplified approach
- Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
- Randomization and the American put
- The pricing of the American option
- Valuing American options by simulation: a simple least-squares approach
Cited in
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- REFINING THE QUADRATIC APPROXIMATION FORMULA FOR AN AMERICAN OPTION
- Pricing and hedging american options analytically: a perturbation method
- Power approximation for pricing American options
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