Pricing and exercising American options: an asymptotic expansion approach

DOI10.1016/j.jedc.2019.103729zbMath1425.91405OpenAlexW2968537605WikidataQ127364705 ScholiaQ127364705MaRDI QIDQ2338522

Chenxu Li, Yongxin Ye

Publication date: 21 November 2019

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2019.103729

zbMATH Keywords

Fourier transformjumpsasymptotic expansionstochastic volatilityAmerican optionearly exercise boundary

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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A new approach for pricing discounted American options ⋮ An implicit scheme for American put options ⋮ American rainbow option pricing formulae in uncertain environment ⋮ Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps ⋮ CTMC integral equation method for American options under stochastic local volatility models ⋮ Maximum likelihood estimation of diffusions by continuous time Markov chain

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