American options
Pricing American Options Using Transition Probabilities: A Dynamical Systems Approach
... The advantage of this new formula, provided we know the location of the free boundary, is that we only need to asses the value of the function ρ , because the solution of the European option is known analytically by the ...
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Valuation of European and American Options under Variance Gamma Process
... e.g. options, under the VG process has not been well ...value American options by assuming the underlying asset log re- turn follow the VG ...
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A HODIE finite difference scheme for pricing American options
... of American options is that the payoff functions of vanilla options are not smooth at the strike ...of American options being not smooth enough and, consequently, difficult to be ...
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A Posteriori Error Estimator for a Front-Fixing Finite Difference Scheme for American Options
... Abstract—In this paper, we present an MATLAB version of a finite difference scheme for the numerical solution of the American option valuation problem. Our main contribute is the definition of a posteriori error ...
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Quadratic Hedging And Two-colours Rainbow American Options
... Rainbow American option, unique solution of a two-dimensional stationary variational ...Rainbow American options, in order to compute the risk ...
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The put-call symmetry for American options in the Heston stochastic volatility model
... studied American options within the Heston (1993) model ...the American call and its symmetric American put in the Heston (1993) model that is easily accessible to a general finance ...put ...
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Early exercise premium method for pricing American options under the J-model
... the bi-dimensional Heston model, which is based on Fourier inversion, the J-model has the advantage of being a uni-dimensional model using a simple computational technique. We can say that “ the use of only one state ...
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American options in an imperfect complete market with default
... for American options in the case of imperfections in the market model taken into account via the nonlinearity of the dynamics of the wealth (or equivalently, of the portfolio’s values), which are modeled ...
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American options with gradual exercise under proportional transaction costs
... pricing American options under proportional transaction costs goes back to the seminal discovery by Chalasani & Jha (2001) that to hedge against a buyer who can exercise the option at any (ordinary) ...
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Simulation-based Valuation and Counterparty Exposure Estimation of American Options
... valuing American options, including the interleaving estimator in Longstaff and Schwartz [13], the high-biased estimator in Tsitsiklis and Van Roy [17] and its associated low- biased standard path ...
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Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison
... considers American options under the standard Black-Scholes frame- work, which by now is widely regarded as being not very ...from American-style options usually by using binomial ...computing ...
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Asymptotic Behavior of Random Maturity American Options
... remainder of this paper is organized as follows: In section (II), we introduce the pricing problem of American options with random maturity given by the first hitting time of some barrier β . The optimal ...
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The valuation of exotic barrier options and American options using Monte Carlo simulation
... The SCMC method is extended to value exotic American options; an American linear barrier knock-in option with a fractional power payoff.. In this case, the algorithm is modified so that [r] ...
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Model uncertainty and the pricing of American options
... path-dependent options relies heavily on the duality between pricing and ...the American claim within a well-defined model; in their models, the American claim has a precise ...the American ...
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On the Location of a Free Boundary for American Options
... Option pricing is one of the major areas of Mathematical Finance and has over the years generated a series of interesting problems. Among the many questions that still exist in this area, the analytic valuation of ...
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Model uncertainty and the pricing of American options
... path-dependent options relies heavily on the duality between pricing and ...the American claim within a well-defined model; in their models, the American claim has a precise ...the American ...
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The Barone Adesi Whaley Formula to Price American Options Revisited
... an American put option using an n-fold compound ...the American put option price with a piecewise solution of the Black Scholes partial differential equation subject to boundary conditions imposed at the ...
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Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view
... In practice, we use the Method A of [8, Section 3]. We perform a numerical experiment in dimension 1, with a time horizon of one year, and a risk-free interest rate set at 6%. We consider the Black and Scholes model with ...
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On the regularity of American options with regime switching uncertainty
... the American put, with g(x) = (K − x) + , and discuss the determina- tion of the value function and the shape of the optimal stopping boundary by means of a direct application of Itˆ o’s ...an ...
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A Binomial Tree to Price European and American Options
... Then the option value at expiry is calculated, and from the expiry nodes work backwards down the tree to obtain option values at earlier nodes in standard fashion, as in the CRR tree, wi[r] ...
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