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On the Use of Policy Iteration as an Easy Way of Pricing American Options
Policy Iteration Pricing American Options
2011/1/4
When using finite differences or finite elements for American option pricing, one usually has to solve what is known as a discrete linear complementarity problem (LCP). Widely used methods for solving...
American Step-Up and Step-Down Credit Default Swaps under Levy Models
American Step-Up Step-Down Credit Default Swaps Models
2011/1/4
This paper studies the valuation of a class of credit default swaps (CDSs) with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are e...
The Early Exercise Boundary behavior at expiry for American style of derivative
The Early Exercise Boundary behavior American style derivative
2011/1/4
In this paper, we present a new method for calculating the limit of early exercise boundary at expiry. We price American style of general derivative using a formula expressed as a sum of the value of ...
On a free boundary problem for an American put option under the CEV process
free boundary problem American option CEV process
2010/10/21
We consider an American put option under the CEV process. This corresponds to a free boundary problem for a PDE. We show that this free bondary satisfies a nonlinear integral equation, and analyze it ...
American Options Pricing under Stochastic Volatility: Approximation of the Early Exercise Surface and Monte Carlo Simulations
American Options Pricing Stochastic Volatility
2010/10/21
The aim of this study was to develop methods for evaluating the American-style option prices when the volatility of the underlying asset is described by a stochastic process. As part of this problem ...
This paper examines the valuation of a generalized American-style option known as a Game-style call option in an infinite time horizon setting. The specifications of this contract allow the writer to ...
Comparison of numerical and analytical approximations of the early exercise boundary of the American put option
Comparison of numerical and analytical approximations early exercise boundary American put option
2010/10/18
In this paper we present qualitative and quantitative comparison of various analytical and numerical approximation methods for calculating a position of the early exercise boundary of the American pu...
Error Estimates for Multinomial Approximations of American Options in Merton's Model
Error Estimates Multinomial Approximations American Options Merton's Model
2010/10/19
We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and satisfy Lipschitz type c...
Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model
Shortfall Risk Approximations American Options multidimensional Black--Scholes Model
2010/10/19
We show that shortfall risks of American options in a sequence of multinomial approximations of the multidimensional Black--Scholes (BS) market converge to the corresponding quantities for similar Ame...
On the Penalisation Error for American Options in a Jump Model
American Option Jump-Di usion Model Penalty Method
2010/10/21
We consider the pricing of American options in a model where the underlying asset is assumed to follow a jump diffusion process. The option value can be expressed as the solution to a variational ineq...
Regularity of the Exercise Boundary for American Put Options on Assets with Discrete Dividends
Exercise Boundary Assets Discrete Dividends
2010/11/3
We analyze the regularity of the optimal exercise boundary for the American Put option
when the underlying asset pays a discrete dividend at a known time td during the lifetime of
the option. The ex...
Error Estimates for Multinomial Approximations of American Options in Merton's Model
Multinomial Approximations American Options Merton's Model
2010/4/28
We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and satisfy Lipschitz type c...
Shortfall Risk Approximations for American Options in the multidimensional Black--Scholes Model
Black--Scholes American Options
2010/4/28
We show that shortfall risks of American options in a sequence of multinomial approximations of the multidimensional Black--Scholes (BS) market converge to the corresponding quantities for similar Ame...
The Latin American Network Information Center at Texas at Austin University
Latin American Network Information Center
2010/1/29
The Latin American Network Information Center (LANIC) is affiliated with the Lozano Long Institute of Latin American Studies (LLILAS) at the University of Texas at Austin. LANIC has received funding f...
American Agricultural Economics Association
American Agricultural Economics Association AAEA
2010/1/20
The Agricultural & Applied Economics Association (AAEA) is a not-for-profit association serving the professional interests of members working in agricultural and broadly related fields of applied econ...