A simple iterative method for the valuation of American options
From MaRDI portal
Publication:5397426
DOI10.1080/14697688.2012.696780zbMath1281.91187OpenAlexW2101485110MaRDI QIDQ5397426
Bong-Gyu Jang, Kyeong Tae Kim, In Joon Kim
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.696780
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items
Pricing the American options: a closed-form, simple formula ⋮ An improved method for pricing and hedging long dated American options ⋮ Pricing the American options using the Black-Scholes pricing formula ⋮ Financial options pricing with regime-switching jump-diffusions ⋮ Valuing American-style options under the CEV model: an integral representation based method ⋮ Volterra integral equations: an approach based on Lipschitz-continuity ⋮ The American put with finite‐time maturity and stochastic interest rate ⋮ A new integral equation approach for pricing American-style barrier options with rebates ⋮ Unnamed Item ⋮ An improvement of an analytical approximation method for American options ⋮ Pricing puttable convertible bonds with integral equation approaches ⋮ Optimal decision policy for real options under general Markovian dynamics ⋮ Analytic solutions for American partial barrier options by exponential barriers
Cites Work
- The Pricing of Options and Corporate Liabilities
- An alternative approach to the valuation of American options and applications
- The pricing of the American option
- On optimal stopping and free boundary problems
- 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
- An exact and explicit solution for the valuation of American put options
