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Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions

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Author Info

  • Chiarella, Carl
  • El-Hassan, Nadima
  • Kucera, Adam

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File URL: http://www.sciencedirect.com/science/article/B6V85-3Y9RKX5-7/2/76e8f0f733b0507c775c3d7e63dda915
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 23 (1999)
Issue (Month): 9-10 (September)
Pages: 1387-1424

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Handle: RePEc:eee:dyncon:v:23:y:1999:i:9-10:p:1387-1424

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Web page: http://www.elsevier.com/locate/jedc

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References

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  1. Frank Milne & Dilip Madan, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Working Papers 1158, Queen's University, Department of Economics.
  2. Eydeland, A, 1994. "A Fast Algorithm for Computing Integrals in Function Spaces: Financial Applications," Computational Economics, Society for Computational Economics, vol. 7(4), pages 277-85.
  3. Carl Chiarella & Nadima El-Hassan, 1997. "Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques," Working Paper Series 72, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  4. Eydeland, Alexander, 1996. "A Spectral Algorithm for Pricing Interest Rate Options," Computational Economics, Society for Computational Economics, vol. 9(1), pages 19-36, February.
  5. Huang, Jing-zhi & Subrahmanyam, Marti G & Yu, G George, 1996. "Pricing and Hedging American Options: A Recursive Integration Method," Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 277-300.
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Citations

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Cited by:
  1. Carl Chiarella & Adam Kucera & Andrew Ziogas, 2004. "A Survey of the Integral Representation of American Option Prices," Research Paper Series 118, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. Andrew Matacz, 2000. "Path Dependent Option Pricing: the path integral partial averaging method," Papers cond-mat/0005319, arXiv.org.
  3. 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.
  4. Jun Cheng & Jin Zhang, 2012. "Analytical pricing of American options," Review of Derivatives Research, Springer, vol. 15(2), pages 157-192, July.
  5. Carl Chiarella & Jonathan Ziveyi, 2011. "Two Stochastic Volatility Processes - American Option Pricing," Research Paper Series 292, Quantitative Finance Research Centre, University of Technology, Sydney.
  6. Zhu, Song-Ping & Chen, Wen-Ting, 2013. "An inverse finite element method for pricing American options," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 231-250.
  7. Arturo Leccadito & Pietro Toscano & Radu S. Tunaru, 2012. "Hermite Binomial Trees: A Novel Technique For Derivatives Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1250058-1-1.
  8. Tebaldi, Claudio, 2005. "Hedging using simulation: a least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
  9. 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.
  10. Decamps, Marc & De Schepper, Ann & Goovaerts, Marc, 2004. "Applications of δ-function perturbation to the pricing of derivative securities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 342(3), pages 677-692.
  11. Decamps, Marc & De Schepper, Ann & Goovaerts, Marc, 2006. "A path integral approach to asset-liability management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 404-416.
  12. Andrew Matacz, 2000. "Path dependent option pricing: the path integral partial averaging method," Science & Finance (CFM) working paper archive 500034, Science & Finance, Capital Fund Management.
  13. Nikola Gradojevic & Dragan Kukolj & Ramazan Gencay, 2011. "Clustering and Classification in Option Pricing," Review of Economic Analysis, Rimini Centre for Economic Analysis, vol. 3(2), pages 109-128, October.

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