Pricing the American options using the Black-Scholes pricing formula

DOI10.1016/j.physa.2018.05.087zbMath1490.91203OpenAlexW2803959846WikidataQ129813379 ScholiaQ129813379MaRDI QIDQ2150964

Moawia Alghalith

Publication date: 30 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2018.05.087

zbMATH Keywords

American option pricingBlack-Scholes PDEanalytical exact explicit solution

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (11)

FINITE DIFFERENCE METHOD FOR THE TWO-DIMENSIONAL BLACK-SCHOLES EQUATION WITH A HYBRID BOUNDARY CONDITION ⋮ Pricing the American options: a closed-form, simple formula ⋮ A new approach for pricing discounted American options ⋮ A reduced-order model based on cubic B-spline basis function and SSP Runge-Kutta procedure to investigate option pricing under jump-diffusion models ⋮ Perpetual cancellable American options with convertible features ⋮ American rainbow option pricing formulae in uncertain environment ⋮ The price of the Bermudan option: A simple, explicit formula ⋮ Calibration of the double Heston model and an analytical formula in pricing American put option ⋮ On the solution of two-dimensional fractional Black-Scholes equation for European put option ⋮ An improved Barone-Adesi Whaley formula for turbulent markets ⋮ Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm

Cites Work

• Unnamed Item
• A new stochastic factor model: general explicit solutions
• Convergence of the trinomial tree method for pricing European/American options
• A simple iterative method for the valuation of American options
• An exact and explicit solution for the valuation of American put options

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