APPROXIMATE SOLUTIONS FOR THE BRITISH PUT OPTION AND ITS OPTIMAL EXERCISE BOUNDARY

DOI10.1017/S1446181115000450zbMath1415.91282MaRDI QIDQ5369442

Joanna M. Goard

Publication date: 17 October 2017

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

zbMATH Keywords

free boundary problemsanalytic approximationsBritish options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Approximation by rational functions (41A20) Free boundary problems for PDEs (35R35) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Uses Software

• Maple

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Asymptotic analysis of shout options close to expiry
• The analyticity of solutions of the Stefan problem
• Exact solutions for a strike reset put option and a shout call option
• The British Put Option
• PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD
• An exact and explicit solution for the valuation of American put options

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