PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD
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Publication:5190051
DOI10.1111/j.1467-9965.2009.00389.xzbMath1182.91181OpenAlexW2115524032MaRDI QIDQ5190051
Publication date: 12 March 2010
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/85579
Related Items (10)
On a new family of radial basis functions: mathematical analysis and applications to option pricing ⋮ Analytical pricing of American options ⋮ APPROXIMATE SOLUTIONS FOR THE BRITISH PUT OPTION AND ITS OPTIMAL EXERCISE BOUNDARY ⋮ Valuation of the American put option as a free boundary problem through a high-order difference scheme ⋮ PENALTY AMERICAN OPTIONS ⋮ INTEGRAL EQUATION FORMULATION FOR SHOUT OPTIONS ⋮ Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry ⋮ Stochastic approximation methods for American type options ⋮ THE INTERSECTION BETWEEN EUROPEAN PUT PRICE AND ITS PAYOFF FUNCTION ⋮ Pricing and exercising American options: an asymptotic expansion approach
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- Free boundary problem for the heat equation with applications to problems of change of phase. I. General method of solution
- Optimal Stopping and the American Put
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Optimal exercise boundary for an American put option
- American options on assets with dividends near expiry
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Randomization and the American Put
- Option pricing: A simplified approach
- An exact and explicit solution for the valuation of American put options
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