On pricing American and Asian options with PDE methods.
Meyer, G.H. (2001)
Acta Mathematica Universitatis Comenianae. New Series
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Displaying similar documents to “The numerical valuation of options with underlying jumps.”
On pricing American and Asian options with PDE methods.
Asymptotic analysis of American call options.
Alobaidi, Ghada, Mallier, Roland (2001)
International Journal of Mathematics and Mathematical Sciences
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Installment options close to expiry.
Alobaidi, G., Mallier, R. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Evaluating approximations to the optimal exercise boundary for American options.
Mallier, Roland (2002)
Journal of Applied Mathematics
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Valuation for an American continuous-installment put option on bond under Vasicek interest rate model.
Huang, Guoan, Deng, Guohe, Huang, Lihong (2009)
Journal of Applied Mathematics and Decision Sciences
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Integral price formulas for lookback options.
Xu, Chenglong, Kwok, Yue Kuen (2005)
Journal of Applied Mathematics
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DG method for the numerical pricing of two-asset European-style Asian options with fixed strike
Jiří Hozman, Tomáš Tichý (2017)
Applications of Mathematics
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The evaluation of option premium is a very delicate issue arising from the assumptions made under a financial market model, and pricing of a wide range of options is generally feasible only when numerical methods are involved. This paper is based on our recent research on numerical pricing of path-dependent multi-asset options and extends these results also to the case of Asian options with fixed strike. First, we recall the three-dimensional backward parabolic PDE describing the evolution...
On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile.
Jandačka, Martin, Ševčovič, Daniel (2005)
Journal of Applied Mathematics
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Analysis of an uncertain volatility model.
Di Francesco, Marco, Foschi, Paolo, Pascucci, Andrea (2006)
Journal of Applied Mathematics and Decision Sciences
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DG method for numerical pricing of multi-asset Asian options—the case of options with floating strike
Jiří Hozman, Tomáš Tichý (2017)
Applications of Mathematics
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Option pricing models are an important part of financial markets worldwide. The PDE formulation of these models leads to analytical solutions only under very strong simplifications. For more general models the option price needs to be evaluated by numerical techniques. First, based on an ideal pure diffusion process for two risky asset prices with an additional path-dependent variable for continuous arithmetic average, we present a general form of PDE for pricing of Asian option contracts...
On the optimal exercise boundary for an American put option.
Alobaidi, Ghada, Mallier, Roland (2001)
Journal of Applied Mathematics
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Using Monte Carlo Methods to Evaluate Sub-Optimal Exercise Policies for American Options
Alobaidi, Ghada, Mallier, Roland (2002)
Serdica Mathematical Journal
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∗This research, which was funded by a grant from the Natural Sciences and Engineering Research Council of Canada, formed part of G.A.’s Ph.D. thesis [1]. In this paper we use a Monte Carlo scheme to find the returns that an uninformed investor might expect from an American option if he followed one of several näıve exercise strategies rather than the optimal exercise strategy. We consider several such strategies that an ill-advised investor might follow. We also consider...