Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options

DOI10.1017/S0956792513000260zbMath1297.91137OpenAlexW1998925254MaRDI QIDQ3189132

Marianito R. Rodrigo

Publication date: 9 September 2014

Published in: European Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0956792513000260

zbMATH Keywords

Mellin transformfree boundary problemoptimal exercise boundaryBlack-Scholes kernelAmerican put and call

Mathematics Subject Classification ID

Special integral transforms (Legendre, Hilbert, etc.) (44A15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Jumping hedges on the strength of the Mellin transform ⋮ On a strongly continuous semigroup for a Black-Scholes integro-differential operator: European options under jump-diffusion dynamics ⋮ Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms ⋮ Pricing of general European options on discrete dividend-paying assets with jump-diffusion dynamics

Cites Work

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• Option pricing with Mellin transforms
• Numerical solution of modified Black-Scholes equation pricing stock options with discrete dividend
• Explicit solution of Black-Scholes option pricing mathematical models with an impulsive payoff function
• A new direct method for solving the Black-Scholes equation
• American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
• AN APPLICATION OF MELLIN TRANSFORM TECHNIQUES TO A BLACK–SCHOLES EQUATION PROBLEM
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Option pricing: A simplified approach

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