Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions

DOI10.1016/S0165-1889(98)00078-5zbMath1016.91049MaRDI QIDQ1960553

Adam Kucera, Nadima El-Hassan, Carl Chiarella

Publication date: 12 January 2000

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Related Items (13)

LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS ⋮ A moving boundary approach to American option pricing ⋮ Haar‐wavelet based approximation for pricing American options under linear complementarity formulations ⋮ Analytical pricing of American options ⋮ Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes ⋮ A HODIE finite difference scheme for pricing American options ⋮ The implied risk neutral density dynamics: evidence from the S\&P TSX 60 index ⋮ HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING ⋮ A spectral method for an optimal investment problem with transaction costs under potential utility ⋮ Hedging using simulation: a least squares approach ⋮ A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS ⋮ A pseudospectral method for option pricing with transaction costs under exponential utility ⋮ Approximation of Dynamic Programs

Cites Work

• The pricing of the American option
• The Fokker-Planck equation. Methods of solution and applications.
• A fast algorithm for computing integrals in function spaces: Financial applications
• A spectral algorithm for pricing interest rate options
• CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS
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