An alternative approach to the valuation of American options and applications

DOI10.1007/BF01536395zbMath1274.91419MaRDI QIDQ375241

G. George Yu, In Joon Kim

Publication date: 29 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

American optionspricing models

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

Optimal exercise of American put options near maturity: a new economic perspective ⋮ Valuing American-style options under the CEV model: an integral representation based method ⋮ A note on options and bubbles under the CEV model: implications for pricing and hedging ⋮ An efficient numerical method for pricing American put options under the CEV model ⋮ A simple iterative method for the valuation of American options ⋮ American option prices in a Markov chain market model ⋮ A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes ⋮ Optimal surrender policy for variable annuity guarantees ⋮ STATE-DEPENDENT FEES FOR VARIABLE ANNUITY GUARANTEES

Cites Work

• The Pricing of Options and Corporate Liabilities
• Martingales and arbitrage in multiperiod securities markets
• The pricing of the American option
• Optimal Stopping and the American Put
• ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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