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Pricing Multidimensional American Options
International Journal of Financial Studies, 2023 A new explicit form is provided for the solution of optimal stopping problems involving a multidimensional geometric Brownian motion. A free-boundary value approach is adopted and the value function is obtained via fundamental solution methods. There are
Elettra Agliardi, Rossella Agliardi
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Winery diversification options for Native American tribal enterprises [PDF]
International Hospitality Review, 2023 Purpose – This study examined the perceptions of tribal members regarding the strengths, challenges and opportunities presented by tribal winery operation.
Randi Hutchens +2 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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Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view [PDF]
ESAIM: Proceedings and Surveys, 2019 We extend the viscosity solution characterization proved in [5] for call/put American option prices to the case of a general payoff function in a multi-dimensional setting: the price satisfies a semilinear reaction/diffusion type equation. Based on this,
Bouchard Bruno +3 more
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Perpetual cancellable American options with convertible features
Modern Stochastics: Theory and Applications, 2023 The major characteristic of the cancellable American options is the existing writer’s right to cancel the contract prematurely paying some penalty amount. The main purpose of this paper is to introduce and examine a new subclass of such options for which
Tsvetelin Zaevski
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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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Analytic Approximation for American Straddle Options
Mathematics, 2022 This paper looks at adapting a recent approach found in the literature for pricing short-term American options to price American straddle options with two free boundaries.
Joanna Goard, Mohammed AbaOud
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Pricing European and American Installment Options
Mathematics, 2022 This paper derives accurate and efficient analytic approximations for the prices of both European and American continuous-installment call and put options.
Joanna Goard, Mohammed AbaOud
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Tau method for pricing American options under complex models [PDF]
Mathematics and Modeling in Finance, 2021 The European option can be exercised only at the expiration date while an American option can be exercised on or at any time before the expiration date.
Samaneh Bani Asadi, Azim Rivaz
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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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