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The American Put Option Valued Analytically

Citations

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Cited by:

  1. Weihan Li & Jin E. Zhang & Xinfeng Ruan & Pakorn Aschakulporn, 2024. "An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1117-1153, July.
  2. Kuldeep Shastri & Kulpatra Wethyavivorn, 1987. "The Valuation Of Currency Options For Alternate Stochastic Processes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(4), pages 283-293, December.
  3. Lord, Roger & Fang, Fang & Bervoets, Frank & Oosterlee, Kees, 2007. "A fast and accurate FFT-based method for pricing early-exercise options under Lévy processes," MPRA Paper 1952, University Library of Munich, Germany.
  4. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, June.
  5. Giovanni Villani, 2004. "Valutazione di opzioni exchange attraverso la simulazione Monte Carlo e stima delle sensitivita'," Quaderni DSEMS 10-2004, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
  6. Denis Veliu & Roberto De Marchis & Mario Marino & Antonio Luciano Martire, 2022. "An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options," Mathematics, MDPI, vol. 11(1), pages 1-12, December.
  7. Ofek, Eli & Richardson, Matthew & Whitelaw, Robert F., 2004. "Limited arbitrage and short sales restrictions: evidence from the options markets," Journal of Financial Economics, Elsevier, vol. 74(2), pages 305-342, November.
  8. K. C. Chen & R. Stephen Sears & Manuchehr Shahrokhi, 1992. "Pricing Nikkei Put Warrants: Some Empirical Evidence," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 15(3), pages 231-251, September.
  9. N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
  10. Lee, Jung-Kyung, 2020. "A simple numerical method for pricing American power put options," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
  11. Caporale, Guglielmo Maria & Cerrato, Mario, 2008. "Chebyshev polynomial approximation to approximate partial differential equations," SIRE Discussion Papers 2008-15, Scottish Institute for Research in Economics (SIRE).
  12. Ben-Ameur, Hatem & de Frutos, Javier & Fakhfakh, Tarek & Diaby, Vacaba, 2013. "Upper and lower bounds for convex value functions of derivative contracts," Economic Modelling, Elsevier, vol. 34(C), pages 69-75.
  13. Flavia Cortelezzi & Giovanni Villani, 2009. "Valuation of R&D Sequential Exchange Options Using Monte Carlo Approach," Computational Economics, Springer;Society for Computational Economics, vol. 33(3), pages 209-236, April.
  14. Zhongkai Liu & Tao Pang, 2016. "An efficient grid lattice algorithm for pricing American-style options," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 36-55.
  15. Daniel Sevcovic, 2007. "An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation," Papers 0710.5301, arXiv.org.
  16. Luca Barzanti & Corrado Corradi & Martina Nardon, 2006. "On the efficient application of the repeated Richardson extrapolation technique to option pricing," Working Papers 147, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  17. Allegretto, Walter & Lin, Yanping & Yang, Hongtao, 2002. "A novel approach to the valuation of American options," Global Finance Journal, Elsevier, vol. 13(1), pages 17-28.
  18. Alfredo Ibáñez, 2003. "Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium," Management Science, INFORMS, vol. 49(9), pages 1210-1228, September.
  19. Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175, October.
  20. Qianru Shang & Brian Byrne, 2021. "American option pricing: Optimal Lattice models and multidimensional efficiency tests," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 514-535, April.
  21. Andrew Ziogas & Carl Chiarella, 2003. "McKean’s Method applied to American Call Options on Jump-Diffusion Processes," Computing in Economics and Finance 2003 39, Society for Computational Economics.
  22. Chang, Chuang-Chang & Tsay, Min-Hung & Lin, Jun-Biao, 2018. "A generalized Brennan–Rubinstein approach for valuing options with stochastic interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 67(C), pages 92-99.
  23. Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020. "Neural Network Pricing of American Put Options," Risks, MDPI, vol. 8(3), pages 1-24, July.
  24. Robert J. Shiller & Rafal M. Wojakowski & M. Shahid Ebrahim & Mark B. Shackleton, 2017. "Continuous Workout Mortgages: Efficient Pricing and Systemic Implications," Cowles Foundation Discussion Papers 3016, Cowles Foundation for Research in Economics, Yale University.
  25. Bruno Solnik, 1991. "Finance Theory and Investment Management," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 127(III), pages 303-324, September.
  26. Chan, Tat Lung (Ron), 2020. "Hedging and pricing early-exercise options with complex fourier series expansion," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  27. Oleksandr Zhylyevskyy, 2010. "A fast Fourier transform technique for pricing American options under stochastic volatility," Review of Derivatives Research, Springer, vol. 13(1), pages 1-24, April.
  28. Moisa Altar & Judita Samuel, 2008. "Pricing American Options in a Mild Stochastic Environment," Advances in Economic and Financial Research - DOFIN Working Paper Series 11, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
  29. Song-Ping Zhu, 2006. "An exact and explicit solution for the valuation of American put options," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 229-242.
  30. Wong, Hoi Ying & Guan, Peiqiu, 2011. "An FFT-network for Lévy option pricing," Journal of Banking & Finance, Elsevier, vol. 35(4), pages 988-999, April.
  31. Cosma, Antonio & Galluccio, Stefano & Scaillet, Olivier, 2012. "Valuing American options using fast recursive projections," Working Papers unige:41856, University of Geneva, Geneva School of Economics and Management.
  32. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
  33. Frans De Roon & Chris Veld, 1996. "Put‐call parities and the value of early exercise for put options on a performance index," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(1), pages 71-80, February.
  34. Axel Kind, 2005. "Pricing American-Style Options By Simulation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(1), pages 109-116, June.
  35. Jia‐Hau Guo & Lung‐Fu Chang, 2020. "Repeated Richardson extrapolation and static hedging of barrier options under the CEV model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 974-988, June.
  36. Cheng Cai & Tiziano De Angelis & Jan Palczewski, 2021. "The American put with finite-time maturity and stochastic interest rate," Papers 2104.08502, arXiv.org, revised Feb 2024.
  37. Fabozzi, Frank J. & Paletta, Tommaso & Stanescu, Silvia & Tunaru, Radu, 2016. "An improved method for pricing and hedging long dated American options," European Journal of Operational Research, Elsevier, vol. 254(2), pages 656-666.
  38. Figlewski, Stephen & Gao, Bin, 1999. "The adaptive mesh model: a new approach to efficient option pricing," Journal of Financial Economics, Elsevier, vol. 53(3), pages 313-351, September.
  39. Forte, Santiago, 2004. "Capital structure: optimal leverage and maturity choice in a dynamic model," DEE - Working Papers. Business Economics. WB wb041206, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  40. Gukhal, C.R.Chandrasekhar Reddy, 2004. "The compound option approach to American options on jump-diffusions," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2055-2074, September.
  41. repec:dau:papers:123456789/9845 is not listed on IDEAS
  42. Didier Cossin & Benoît Leleux & Entela Saliasi, 2002. "Understanding the Economic Value of Legal Covenants in Investment Contracts: A Real-Options Approach to Venture Equity Contracts," Swiss Finance Institute Research Paper Series rp63, Swiss Finance Institute.
  43. Carl Chiarella & Andrew Ziogas, 2009. "American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(1), pages 37-79.
  44. Zhylyevskyy, Oleksandr, 2012. "Efficient Pricing of European-Style Options Under Heston's Stochastic Volatility Model," Staff General Research Papers Archive 34827, Iowa State University, Department of Economics.
  45. Lingfei Li & Vadim Linetsky, 2013. "Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach," Operations Research, INFORMS, vol. 61(3), pages 625-643, June.
  46. João Nunes, 2011. "American options and callable bonds under stochastic interest rates and endogenous bankruptcy," Review of Derivatives Research, Springer, vol. 14(3), pages 283-332, October.
  47. Zhang, Hongyu & Guo, Xunxiang & Wang, Ke & Huang, Shoude, 2024. "The valuation of American options with the stochastic liquidity risk and jump risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 650(C).
  48. Alghalith, Moawia, 2018. "Pricing the American options using the Black–Scholes pricing formula," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 443-445.
  49. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
  50. Barone-Adesi, Giovanni, 2005. "The saga of the American put," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2909-2918, November.
  51. Hsuan-Ku Liu, 2013. "The Convexity of the Free Boundary for the American put option," Papers 1304.5337, arXiv.org, revised Apr 2017.
  52. Ho, T. S. & Stapleton, Richard C. & Subrahmanyam, Marti G., 1997. "The valuation of American options on bonds1," Journal of Banking & Finance, Elsevier, vol. 21(11-12), pages 1487-1513, December.
  53. Shiller, Robert J. & Wojakowski, Rafal M. & Ebrahim, M. Shahid & Shackleton, Mark B., 2019. "Continuous Workout Mortgages: Efficient pricing and systemic implications," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 244-274.
  54. San-Lin Chung & Mark Shackleton, 2005. "On the use and improvement of Hull and White's control variate technique," Applied Financial Economics, Taylor & Francis Journals, vol. 15(16), pages 1171-1179.
  55. Minqiang Li, 2010. "Analytical approximations for the critical stock prices of American options: a performance comparison," Review of Derivatives Research, Springer, vol. 13(1), pages 75-99, April.
  56. Muthuraman, Kumar, 2008. "A moving boundary approach to American option pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3520-3537, November.
  57. Chi H. Truong, 2014. "A Two Factor Model for Water Prices and Its Implications for Evaluating Real Options and Other Water Price Derivatives," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 62(1), pages 23-45, March.
  58. Poon, Winnie P. H. & Duett, Edwin H., 1998. "An empirical examination of currency futures options under stochastic interest rates," Global Finance Journal, Elsevier, vol. 9(1), pages 29-50.
  59. Jinsha Zhao, 2018. "American Option Valuation Methods," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(5), pages 1-13, May.
  60. Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 12, July-Dece.
  61. Rafael Company & Vera N. Egorova & Lucas Jódar, 2024. "An ETD Method for Vulnerable American Options," Mathematics, MDPI, vol. 12(4), pages 1-14, February.
  62. Zhylyevskyy, Oleksandr, 2012. "Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications," Staff General Research Papers Archive 35559, Iowa State University, Department of Economics.
  63. Carl Chiarella & Susanne Griebsch & Boda Kang, 2013. "Investigating Time-Efficient Methods to Price Compound Options in the Heston Model," Research Paper Series 328, Quantitative Finance Research Centre, University of Technology, Sydney.
  64. Grundy, Bruce D. & Lim, Bryan & Verwijmeren, Patrick, 2012. "Do option markets undo restrictions on short sales? Evidence from the 2008 short-sale ban," Journal of Financial Economics, Elsevier, vol. 106(2), pages 331-348.
  65. Andras Prekopa & Tam�s Sz�ntai, 2010. "On the analytical-numerical valuation of the Bermudan and American options," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 59-74.
  66. John M. Charnes & Prakash P. Shenoy, 2004. "Multistage Monte Carlo Method for Solving Influence Diagrams Using Local Computation," Management Science, INFORMS, vol. 50(3), pages 405-418, March.
  67. Cassimon, D. & Engelen, P.J. & Thomassen, L. & Van Wouwe, M., 2007. "Closed-form valuation of American call options on stocks paying multiple dividends," Finance Research Letters, Elsevier, vol. 4(1), pages 33-48, March.
  68. Vivek Bhargava & Robert Brooks & D. K. Malhotra, 2001. "Implied volatilities, stochastic interest rates, and currency futures options valuation: an empirical investigation," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 231-246.
  69. Tat Lung Chan & Nicholas Hale, 2018. "Hedging and Pricing European-type, Early-Exercise and Discrete Barrier Options using Algorithm for the Convolution of Legendre Series," Papers 1811.09257, arXiv.org, revised May 2019.
  70. Lee, Meng-Yu & Yeh, Fang-Bo & Chen, An-Pin, 2008. "The generalized sequential compound options pricing and sensitivity analysis," Mathematical Social Sciences, Elsevier, vol. 55(1), pages 38-54, January.
  71. In oon Kim & Bong-Gyu Jang & Kyeong Tae Kim, 2013. "A simple iterative method for the valuation of American options," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 885-895, May.
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  73. Daniel Sevcovic & Martin Takac, 2011. "Sensitivity analysis of the early exercise boundary for American style of Asian options," Papers 1101.3071, arXiv.org.
  74. Chung, San-Lin & Shih, Pai-Ta, 2009. "Static hedging and pricing American options," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2140-2149, November.
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