Results 1 to 10 of about 2,136,962 (179)
Results in Applied Mathematics, 2022 The Black–Scholes differential operator which underlies the option pricing of European and American options is known to be degenerate close to the boundary at zero.
David Sena Attipoe, Antoine Tambue
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A Partition of unity finite element method for valuation American option under Black-Scholes model
Moroccan Journal of Pure and Applied Analysis, 2021 In this paper, we present an intelligent combination of partition of unity (PU) and finite element (FE) methods for valuing American option pricing problems governed by the Black-Scholes (BS) model.
El kharrazi Zaineb +3 more
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American Parisian options [PDF]
Finance and Stochastics, 2006 In this article, we describe the various sorts of American Parisian options and propose valuation formulae. Although there is no closed-form valuation for these products in the non-perpetual case, we have been able to reformulate their price as a function of the exercise frontier.
Marc Chesney, Laurent Gauthier
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Pricing American Put Option using RBF-NN: New Simulation of Black-Scholes
Moroccan Journal of Pure and Applied Analysis, 2022 The present work proposes an Artificial Neural Network framework for calculating the price and delta hedging of American put option. We consider a sequence of Radial Basis function Neural Network, where each network learns the difference of the price ...
Zaineb El Kharrazi +2 more
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About the valuation of American option under Black-Scholes model : a numerical study
Moroccan Journal of Pure and Applied Analysis, 2023 In the history of option pricing, Black-Scholes model is one of the most significant models. In this paper, we present a new numerical strategy for valuing American option pricing problems governed by Black-Scholes model (BSM). Numerical computations are
Malek R.
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New developments in econophysics: Option pricing formulas
Frontiers in Physics, 2022 We synthesize and discuss some new developments in econophysics. In doing so, we focus on option pricing. We relax the assumptions of constant volatility and interest rate. In doing so, we rely on the square root of the Brownian motion.
Moawia Alghalith
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European Journal of Operational Research, 2020 This paper examines the valuation of American knock-out and knock-in step options. The structures of the immediate exercise regions of the various contracts are identified. Typical properties of American vanilla calls, such as uniqueness of the optimal exercise boundary, upconnectedness of the exercise region or convexity of its t-section, are shown to
Jérôme Detemple +2 more
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A Quasi-Closed-Form Solution for the Valuation of American Put Options
International Journal of Financial Studies, 2020 This study develops a quasi-closed-form solution for the valuation of an American put option and the critical price of the underlying asset. This is an important area of research both because of a large number of transactions for American put options on ...
Cristina Viegas, José Azevedo-Pereira
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The parareal algorithm for American options [PDF]
Comptes Rendus. Mathématique, 2016 This note provides a description of the parareal method for American contracts, a numerical section to assess its performance. The scalar case is investigated. Least-Square Monte Carlo (LSMC) and parareal time decomposition with two or more levels are used, leading to an efficient parallel implementation. It contains also a convergence argument for the
Gilles Pagès +2 more
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Charter Schools: An Alternative Option in American Schooling
Encyclopedia, 2023 Charter schools are educational institutions in the United States funded through taxation but operated privately under a charter or contract with a public entity, providing alternative public education options to families.
Tong Tong +3 more
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