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International Journal of Theoretical and Applied Finance, 2019
We present a new American-style option whereby on the event of exercise before expiry, the holder pays the writer a fee (which will be referred to as a ‘penalty’). The valuation of the option is not straightforward as it involves determining when it is optimal for the holder to exercise the option, leading to a free boundary problem.
ZIWEI KE, JOANNA GOARD
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We present a new American-style option whereby on the event of exercise before expiry, the holder pays the writer a fee (which will be referred to as a ‘penalty’). The valuation of the option is not straightforward as it involves determining when it is optimal for the holder to exercise the option, leading to a free boundary problem.
ZIWEI KE, JOANNA GOARD
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American option pricing under the double Heston model based on asymptotic expansion
Quantitative finance (Print), 2018This paper focuses on pricing American put options under the double Heston model proposed by Christoffersen et al. By introducing an explicit exercise rule, we obtain the asymptotic expansion of the solution to the partial differential equation for ...
S. Zhang, Y. Feng
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Spanning with American options
Journal of Economic Theory, 2003The author considers American options that expire at the terminal date and are available for trade at all dates. They are referred to as multiperiod American options. It is proved that if a primitive security separates states at the terminal date, then generically there exist multiperiod American options on that security generating dynamically complete
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American option pricing with imprecise risk-neutral probabilities
International Journal of Approximate Reasoning, 2008 The aim of this paper is to price an American option in a multiperiod binomial model, when there is uncertainty on the volatility of the underlying asset. American option valuation is usually performed, under the risk-neutral valuation paradigm, by using
Silvia Muzzioli
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American Options with Lookback Payoff
SIAM Journal on Applied Mathematics, 2004Summary: We examine the early exercise policies and pricing behaviors of one-asset American options with lookback payoff structures. The classes of option models considered include floating strike lookback options, Russian options, fixed strike lookback options, and the pricing model of the dynamic protection fund.
Min Dai, Yue Kuen Kwok
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AMERICAN OPTIONS AND INCOMPLETE INFORMATION
International Journal of Theoretical and Applied Finance, 2019We study the optimal exercise of American options under incomplete information about the drift of the underlying process, and we show that quite unexpected phenomena may occur. In fact, certain parameter values give rise to stopping regions very different from the standard case of complete information.
Ekström, Erik, Vannestål, Martin
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DISCRETE TIME HEDGING OF THE AMERICAN OPTION
Mathematical Finance, 2010S. Hussain, M. Shashiashvili
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2000
In this chapter, we consider the American call option in a continuous time model of stock prices. The development is similar to that in discrete time and follows our general approach of deriving upper and lower bounds based on the NA principle. We will show that in a complete market, the two bounds coincide.
Gopinath Kallianpur +1 more
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In this chapter, we consider the American call option in a continuous time model of stock prices. The development is similar to that in discrete time and follows our general approach of deriving upper and lower bounds based on the NA principle. We will show that in a complete market, the two bounds coincide.
Gopinath Kallianpur +1 more
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Simulated Greeks for American options
Quantitative Finance, 2019This paper considers estimation of price sensitivities, so-called Greeks, for American style options using flexible simulation methods combined with initial dispersed state variables. The asymptotic properties of the estimators are studied and convergence of the method is established under mild regularity conditions. A 2-step method is proposed with an
Lars Stentoft, Pascal Letourneau
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