Results 21 to 30 of about 13,222,209 (296)

New Methods with Capped Options for Pricing American Options

Journal of Applied Mathematics, 2014
We propose two new methods: improved binomial methods and improved least square MonteCarlo methods (LSM), for pricing American options. These two methods are developed using the nice capped options which have closed-form formulas.
Dongya Deng, Cuiye Peng
doaj   +1 more source

American put options with regime-switching volatility [PDF]

Seonmul yeongu
We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the ...
Bong-Gyu Jang, Hyeng Keun Koo
doaj   +1 more source

Pricing the exotic: Path-dependent American options with stochastic barriers

Latin American Journal of Central Banking, 2021
We develop a novel pricing strategy that approximates the value of an American option with exotic features through a portfolio of European options with different maturities. Among our findings, we show that: (i) our model is numerically robust in pricing
Alejandro Rojas-Bernal, Mauricio Villamizar-Villegas   +1 more
doaj   +1 more source

American perpetual options with random start

Results in Applied Mathematics, 2019
We consider the valuation of American perpetual options with the property that they are only possible to exercise after the occurrence of a random time, which is a stopping time with respect to a given filtration.
Fredrik Armerin
doaj   +1 more source

Unlocking greener supply chains: A global innovative perspective on the role of logistics performance in reducing ecological footprints

Journal of Innovation & Knowledge
One of the significant challenges to achieveing the Green Supply Chain Management objectives is the ecological footprint associated with several logistics operations.
Haoyu Cheng, Hassan Rauf Chaudhry, Irfan Kazi, Muhammad Umar   +3 more
doaj   +1 more source

A Shannon Wavelet Method for Pricing American Options under Two-Factor Stochastic Volatilities and Stochastic Interest Rate

Discrete Dynamics in Nature and Society, 2020
In the paper, the pricing of the American put options under the double Heston model with Cox–Ingersoll–Ross (CIR) interest rate process is studied.
Huang Shoude, Xunxiang Guo
doaj   +1 more source

A Fast and Accurate Numerical Approach for Pricing American-Style Power Options

Mathematics
In this paper, we present a fast and accurate numerical approach applied to specific American-style derivatives, namely American power call and put options, whose main feature is that the underlying asset is raised to a power.
Tsvetelin S. Zaevski, Hristo Sariev, Mladen Savov   +2 more
doaj   +1 more source

Asymptotic analysis of American call options

International Journal of Mathematics and Mathematical Sciences, 2001
American call options are financial derivatives that give the holder the right but not the obligation to buy an underlying security at a pre-determined price.
Ghada Alobaidi, Roland Mallier
doaj   +1 more source

Options in Consumer Bankruptcy: An American Perspective

Osgoode Hall Law Journal, 1999
In both the United States and Canada, a rapid increase in personal bankruptcies has led to demands for stricter laws to force more repayment by consumer debtors.
Jean Braucher
doaj   +1 more source

The Pricing of the American Option

The Annals of Applied Probability, 1992
The author gives a survey on the valuation problem for American options based on a risky asset which is modelled as a geometric Brownian motion. The fact that American options --- by definition --- can be exercised at any time up to a fixed maturity \(T\) makes the pricing problem more difficult than that for European options.
openaire   +2 more sources