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An exact and explicit solution for the valuation of American put options

✍ Scribed by Zhu, Song-Ping

Book ID
121423104
Publisher
Taylor and Francis Group
Year
2006
Tongue
English
Weight
233 KB
Volume
6
Category
Article
ISSN
1469-7688

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πŸ“œ SIMILAR VOLUMES

An explicit series approximation to the
An explicit series approximation to the optimal exercise boundary of American put options
✍ Jun Cheng; Song-Ping Zhu; Shi-Jun Liao πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 329 KB

This paper derives an explicit series approximation solution for the optimal exercise boundary of an American put option by means of a new analytical method for strongly nonlinear problems, namely the homotopy analysis method (HAM). The Black-Sholes equation subject to the moving boundary conditions

Optimal convergence rate of the explicit
Optimal convergence rate of the explicit finite difference scheme for American option valuation
✍ Bei Hu; Jin Liang; Lishang Jiang πŸ“‚ Article πŸ“… 2009 πŸ› Elsevier Science 🌐 English βš– 897 KB

An optimal convergence rate O(βˆ†x) for an explicit finite difference scheme for a variational inequality problem is obtained under the stability condition Οƒ 2 βˆ†t βˆ†x 2 1 using completely PDE methods. As a corollary, a binomial tree scheme of an American put option (where Οƒ 2 βˆ†t βˆ†x 2 = 1) is convergent

An expanded model for the valuation of e
An expanded model for the valuation of employee stock options
✍ Feng-Yu Liao; Yuh-Dauh Lyuu πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 437 KB πŸ‘ 1 views

## Abstract The unique characteristics of employee stock options make straightforward applications of traditional option pricing models questionable. This study extends the standard pricing model to account for the dilution effect, the employees' exercise pattern, and the state‐dependent employee f