Calculating the American options in the default model

DOI10.1134/S0005117907030113zbMath1126.93436OpenAlexW2018707852MaRDI QIDQ2371608

Roman V. Ivanov

Publication date: 5 July 2007

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117907030113

zbMATH Keywords

optionsbinomial modelderivative security market

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Related Items (1)

On the problem of optimal stopping for the composite Russian option

Cites Work

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• The pricing of the American option
• Error estimates for the binomial approximation of American put options
• The Russian option: Reduced regret
• Valuation of American options in the presence of event risk
• Pricing derivatives of American and game type in incomplete markets
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Discrete approximation of finite-horizon American-style options
• Randomized Stopping Times and American Option Pricing with Transaction Costs
• American options on assets with dividends near expiry
• ON THE AMERICAN OPTION PROBLEM
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

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