Results 11 to 20 of about 7,186,614 (320)
American Option Valuation Methods [PDF]
, 2018 This paper implements and compares eight American option valuation methods: binomial, trinomial, explicit finite difference, implicit finite difference and quadratic approximation methods. And three Monte Carlo methods: bundling technique of Tilley (1993)
Zhao, Jinsha
core +2 more sources
Number of paths versus number of basis functions in American option pricing [PDF]
, 2003 An American option grants the holder the right to select the time at which to exercise the option, so pricing an American option entails solving an optimal stopping problem.
Glasserman, Paul, Yu, Bin
core +7 more sources
Accelerated American option pricing with deep neural networks
Quantitative Finance and Economics, 2023 Given the competitiveness of a market-making environment, the ability to speedily quote option prices consistent with an ever-changing market environment is essential.
D. Anderson, Urban Ulrych
semanticscholar +1 more source
Variational Formulation of American Option Prices in the Heston Model [PDF]
SIAM Journal on Financial Mathematics, 2017 We give an analytical characterization of the price function of an American option in Heston-type models. Our approach is based on variational inequalities and extends recent results of Daskalopoulos and Feehan (2011).
D. Lamberton, Giulia Terenzi
semanticscholar +1 more source
Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives [PDF]
, 2017 This paper investigates analytic properties of American option prices under the finite moment log-stable (FMLS) model. Under this model the price of American options is characterised by the free boundary problem of a fractional partial differential ...
Wenting Chen, Kai Du, Xinzi Qiu
semanticscholar +1 more source
Distributed Least-Squares Monte Carlo for American Option Pricing
Risks, 2023 Option pricing is an important research field in financial markets, and the American option is a common financial derivative. Fast and accurate pricing solutions are critical to the stability and development of the market.
Lu Xiong +3 more
doaj +1 more source
An American option contract toward supply chain coordination [PDF]
Decision Science Letters, 2018 Coordination improves the profit of all the members in a supply chain. In this paper, a novel coordination mechanism is introduced in a retailer-manufacturer supply chain in which the retailer can adopt either an American option mechanism or a wholesale ...
Masoud Rabbani +3 more
doaj +1 more source
A Note on Simulation Pricing of π-Options
Risks, 2020 In this work, we adapt a Monte Carlo algorithm introduced by Broadie and Glasserman in 1997 to price a π-option. This method is based on the simulated price tree that comes from discretization and replication of possible trajectories of the underlying ...
Zbigniew Palmowski, Tomasz Serafin
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Analytic Valuation Formula for American Strangle Option in the Mean-Reversion Environment
Mathematics, 2022 This paper investigates the American strangle option in a mean-reversion environment. When the underlying asset follows a mean-reverting lognormal process, an analytic pricing formula for an American strangle option is explicitly provided. To present the
Junkee Jeon, Geonwoo Kim
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Obstacle problem for Arithmetic Asian options [PDF]
, 2009 We prove existence, regularity and a Feynman-Ka\v{c} representation formula of the strong solution to the free boundary problem arising in the financial problem of the pricing of the American Asian option with arithmetic ...
Monti, Laura, Pascucci, Andrea
core +4 more sources