The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options

S. D. Howison; C. Reisinger; J. H. Witte

doi:10.1137/12087743x

The Effect of Nonsmooth Payoffs on the Penalty Approximation of American Options

SIAM Journal on Financial Mathematics ◽

10.1137/12087743x ◽

2013 ◽

Vol 4 (1) ◽

pp. 539-574 ◽

Cited By ~ 9

Author(s):

S. D. Howison ◽

C. Reisinger ◽

J. H. Witte

Keyword(s):

American Options ◽

Penalty Approximation

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A mathematical programming with equilibrium constraints approach to the implied volatility surface of American options

The Journal of Computational Finance ◽

10.21314/jcf.2000.054 ◽

2000 ◽

Vol 4 (1) ◽

pp. 21-56 ◽

Cited By ~ 4

Author(s):

Jacqueline Huang ◽

Jong-Shi Pang

Keyword(s):

Mathematical Programming ◽

Implied Volatility ◽

American Options ◽

Equilibrium Constraints ◽

Implied Volatility Surface ◽

Volatility Surface

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A canonical optimal stopping problem for American options under a double exponential jump-diffusion model

The Journal of Risk ◽

10.21314/jor.2007.154 ◽

2007 ◽

Vol 10 (1) ◽

pp. 85-100 ◽

Cited By ~ 4

Author(s):

Farid AitSahlia ◽

Andreas Runnemo

Keyword(s):

Diffusion Model ◽

Optimal Stopping ◽

American Options ◽

Jump Diffusion ◽

Optimal Stopping Problem ◽

Double Exponential ◽

Jump Diffusion Model

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LP valuation of exotic American options exploiting structure

The Journal of Computational Finance ◽

10.21314/jcf.1998.020 ◽

1998 ◽

Vol 2 (1) ◽

pp. 61-84 ◽

Cited By ~ 21

Author(s):

M Dempster ◽

J Hutton ◽

d Richards

Keyword(s):

American Options

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Valuing American options in the presence of user-defined smiles and time-dependent volatility: scenario analysis, model stress and lower-bound pricing applications

The Journal of Risk ◽

10.21314/jor.2001.055 ◽

2001 ◽

Vol 4 (1) ◽

pp. 35-61 ◽

Cited By ~ 5

Author(s):

Peter Jäckel ◽

Riccardo Rebonato

Keyword(s):

Lower Bound ◽

Scenario Analysis ◽

American Options ◽

Time Dependent ◽

Analysis Model

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Variance reduction techniques for pricing American options using function approximations

The Journal of Computational Finance ◽

10.21314/jcf.2009.208 ◽

2009 ◽

Vol 12 (3) ◽

pp. 79-102 ◽

Cited By ~ 10

Author(s):

Sandeep Juneja ◽

Himanshu Kalra

Keyword(s):

Variance Reduction ◽

American Options ◽

Variance Reduction Techniques ◽

Reduction Techniques ◽

Function Approximations

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Implicit-Explicit Method for American Options in Jump-Diffusion Models with Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1107646 ◽

2008 ◽

Author(s):

Svetlana I. Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Jump Diffusion ◽

Diffusion Models ◽

Explicit Method

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Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1528827 ◽

2009 ◽

Cited By ~ 1

Author(s):

Natalia Beliaeva ◽

Sanjay K. Nawalkha

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Low Dimensional

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An Efficient Exercise Boundary Search Algorithm for Valuing American Options

SSRN Electronic Journal ◽

10.2139/ssrn.3179013 ◽

2018 ◽

Author(s):

Qianru Shang ◽

Brian Byrne

Keyword(s):

Search Algorithm ◽

American Options ◽

Exercise Boundary

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Pricing the American Options: A Closed-Form, Simple Formula

SSRN Electronic Journal ◽

10.2139/ssrn.3397938 ◽

2019 ◽

Cited By ~ 1

Author(s):

Moawia Alghalith

Keyword(s):

Closed Form ◽

Simple Formula ◽

American Options

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Perpetual Put-Like and Call-Like American Options under Levy Processes, and Incremental Capital Expansion

SSRN Electronic Journal ◽

10.2139/ssrn.510423 ◽

2004 ◽

Author(s):

Svetlana I. Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Lévy Processes ◽

American Options ◽

Levy Processes

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