A closed-form solution to American options under general diffusion processes
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Publication:2869962
DOI10.1080/14697680903193405zbMath1278.91171OpenAlexW2027111242MaRDI QIDQ2869962
Publication date: 17 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903193405
Related Items (8)
A simple numerical method for pricing an American put option ⋮ Homotopy analysis method for boundary-value problem of turbo warrant pricing under stochastic volatility ⋮ CEV asymptotics of American options ⋮ An efficient numerical method for pricing American put options under the CEV model ⋮ A predictor-corrector approach for pricing American options under the finite moment log-stable model ⋮ Application of homotopy analysis method to option pricing under Lévy processes ⋮ An optimal homotopy-analysis approach for strongly nonlinear differential equations ⋮ Stochastic approximation methods for American type options
Cites Work
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- CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
- The implied volatility smirk
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1
- Practical Extrapolation Methods
- Beyond Perturbation
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Randomization and the American Put
- Option pricing: A simplified approach
- Local volatility function models under a benchmark approach
- An exact and explicit solution for the valuation of American put options
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