CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA

DOI10.1142/S0219024907004615zbMath1153.91581OpenAlexW2108389773MaRDI QIDQ3498243

Zhiwei He, Song-Ping Zhu

Publication date: 28 May 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024907004615

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (8)

A new predictor-corrector scheme for valuing American puts ⋮ Analytical pricing of American options ⋮ AN ANALYTICAL SOLUTION FOR PARISIAN UP-AND-IN CALLS ⋮ A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility ⋮ COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS ⋮ A simple approximation formula for calculating the optimal exercise boundary of American puts ⋮ A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes ⋮ Pricing Parisian down-and-in options

Cites Work

• CRITICAL STOCK PRICE NEAR EXPIRATION
• A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Randomization and the American Put
• Option pricing: A simplified approach
• The Quadrilaterals of Pascal's Hexagram

This page was built for publication: CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA