COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS

DOI10.1017/S1446181110000854zbMath1216.35182arXiv1002.0979OpenAlexW3124304278MaRDI QIDQ2996867

M. Lauko, Daniel Ševčovič

Publication date: 4 May 2011

Published in: The ANZIAM Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.0979

zbMATH Keywords

option pricingAmerican put optionearly exercise boundarylimiting behaviour close to expiry

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) Free boundary problems for PDEs (35R35) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)

Related Items (10)

Pricing perpetual put options by the Black-Scholes equation with a nonlinear volatility function ⋮ Semi-analytic valuation of stock loans with finite maturity ⋮ Fast and accurate calculation of American option prices ⋮ Unnamed Item ⋮ Analytical and Numerical Results for American Style of Perpetual Put Options Through Transformation into Nonlinear Stationary Black-Scholes Equations ⋮ On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models ⋮ A two-grid penalty method for American options ⋮ A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING ⋮ Finite maturity margin call stock loans ⋮ BENCHOP – The BENCHmarking project in option pricing

Cites Work

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• A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
• Free Boundary Problems in Mathematical Finance
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Optimal exercise boundary for an American put option
• American options on assets with dividends near expiry
• The Mathematics of Financial Derivatives
• LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS

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