A closed-form solution to American options under general diffusion processes

DOI10.1080/14697680903193405zbMath1278.91171OpenAlexW2027111242MaRDI QIDQ2869962

Jing Zhao, Hoi Ying Wong

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

zbMATH Keywords

American optionPadé techniquegeneral diffusion processgeneralized homotopy analysis method

Mathematics Subject Classification ID

Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

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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• 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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