American put options with a finite set of exercisable time epochs

DOI10.1016/0895-7177(95)00185-5zbMath0838.90015OpenAlexW2013996226MaRDI QIDQ1905857

Masaaki Kijima, Hideki Iwaki, Toshihiro Yoshida

Publication date: 12 February 1996

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0895-7177(95)00185-5

zbMATH Keywords

multivariate normal distributionAmerican put optionSlepian's inequalitydiscrete-time Markov processno arbitrage pricing

Mathematics Subject Classification ID

Dynamic programming (90C39)

Related Items (2)

An explicit finite difference approach to the pricing problems of perpetual Bermudan options ⋮ Bermudan option in Singapore savings bonds

Cites Work

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• On the theory of option pricing
• On the pricing of American options
• Martingales and arbitrage in multiperiod securities markets
• The pricing of the American option
• Difference Approximations to Control Problems with Functional Arguments
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Option pricing: A simplified approach

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