A moving boundary approach to American option pricing
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Publication:2654413
DOI10.1016/j.jedc.2007.12.007zbMath1181.91300OpenAlexW3124110374MaRDI QIDQ2654413
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2007.12.007
Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (21)
On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation ⋮ LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS ⋮ An approximate moving boundary method for American option pricing ⋮ A simple numerical method for pricing an American put option ⋮ The implication of missing the optimal-exercise time of an American option ⋮ Solving Impulse-Control Problems with Control Delays ⋮ A unified approach to Bermudan and barrier options under stochastic volatility models with jumps ⋮ A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options ⋮ Analytical pricing of American options ⋮ Direct computation for American put option and free boundary using finite difference method ⋮ Hybrid Laplace transform and finite difference methods for pricing American options under complex models ⋮ AN ANALYTICAL SOLUTION FOR PARISIAN UP-AND-IN CALLS ⋮ An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options ⋮ A HODIE finite difference scheme for pricing American options ⋮ Valuing switching options with the moving-boundary method ⋮ Fuzzy pricing of American options on stocks with known dividends and its algorithm ⋮ Pricing American options when asset prices jump ⋮ Numerical methods for pricing American options with time-fractional PDE models ⋮ OPTIMAL EXERCISE OF AN EXECUTIVE STOCK OPTION BY AN INSIDER ⋮ Pricing Parisian down-and-in options ⋮ BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS
Cites Work
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- Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
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- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- A Numerical Method for Solving Singular Stochastic Control Problems
- Option pricing: A simplified approach
- MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
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