Add to ORKGAn iterative semi-analytic procedure is developed for solution of problems arising in the pricing of American options. Introduction of a penalty function reduces the problem to a European options problem with a nonlinear term in the Black-Scholes equation. The approach is based on the use of a Green’s function constructed for a terminal-boundary value problem stated for the linear Black-Scholes equation. Different boundary conditions can potentially be treated within this approach
In this paper, we propose an alternative approach for pricing and hedging non-standard American opti...
This paper looks at adapting a recent approach found in the literature for pricing short-term Americ...
<p>The real options approach often assumes that investment projects last indefinitely, which is an u...
We derive the Green's function for the Black-Scholes partial differential equation with time-varying...
In this paper, we propose a general method for pricing and hedging non-standard American options. Th...
The mathematical model for computing the value of European options has been discovered and known as ...
In [7], we proved that the American (call/put) option valuation problem can be stated in terms of on...
American options are the most commonly traded financial derivatives in the market. Pricing these opt...
AbstractBased on the idea of quasi-interpolation and radial basis functions approximation, a fast an...
We present a method to solve the free-boundary problem that arises in the pricing of classical Ameri...
This paper presents a method to solve the American option pricing problem in the Black Scholes frame...
An American option gives the holder the right, but not the obligation, to buy/sell an underlying ass...
AbstractWe derive and analyze a penalty method for solving American multi-asset option problems. A s...
In this paper, we present a numerical method for pricing European options. This approximation method...
AbstractWe develop adaptive θ-methods for solving the Black–Scholes PDE for American options. By add...
In this paper, we propose an alternative approach for pricing and hedging non-standard American opti...
This paper looks at adapting a recent approach found in the literature for pricing short-term Americ...
<p>The real options approach often assumes that investment projects last indefinitely, which is an u...
We derive the Green's function for the Black-Scholes partial differential equation with time-varying...
In this paper, we propose a general method for pricing and hedging non-standard American options. Th...
The mathematical model for computing the value of European options has been discovered and known as ...
In [7], we proved that the American (call/put) option valuation problem can be stated in terms of on...
American options are the most commonly traded financial derivatives in the market. Pricing these opt...
AbstractBased on the idea of quasi-interpolation and radial basis functions approximation, a fast an...
We present a method to solve the free-boundary problem that arises in the pricing of classical Ameri...
This paper presents a method to solve the American option pricing problem in the Black Scholes frame...
An American option gives the holder the right, but not the obligation, to buy/sell an underlying ass...
AbstractWe derive and analyze a penalty method for solving American multi-asset option problems. A s...
In this paper, we present a numerical method for pricing European options. This approximation method...
AbstractWe develop adaptive θ-methods for solving the Black–Scholes PDE for American options. By add...
In this paper, we propose an alternative approach for pricing and hedging non-standard American opti...
This paper looks at adapting a recent approach found in the literature for pricing short-term Americ...
<p>The real options approach often assumes that investment projects last indefinitely, which is an u...