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Analytical approximations for the critical stock prices of American options: a performance comparison

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  • Minqiang Li

    ()

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File URL: http://hdl.handle.net/10.1007/s11147-009-9044-3
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Article provided by Springer in its journal Review of Derivatives Research.

Volume (Year): 13 (2010)
Issue (Month): 1 (April)
Pages: 75-99

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Handle: RePEc:kap:revdev:v:13:y:2010:i:1:p:75-99
DOI: 10.1007/s11147-009-9044-3
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  1. Broadie, Mark & Detemple, Jerome, 1996. "American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods," Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1211-1250.
  2. Geske, Robert & Johnson, Herb E, 1984. " The American Put Option Valued Analytically," Journal of Finance, American Finance Association, vol. 39(5), pages 1511-1524, December.
  3. Bjerksund, Petter & Stensland, Gunnar, 1993. "Closed-form approximation of American options," Scandinavian Journal of Management, Elsevier, vol. 9(Supplemen), pages 87-99.
  4. 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.
  5. Siim Kallast & Andi Kivinukk, 2003. "Pricing and Hedging American Options Using Approximations by Kim Integral Equations," Review of Finance, Springer, vol. 7(3), pages 361-383.
  6. Sullivan, Michael A, 2000. "Valuing American Put Options Using Gaussian Quadrature," Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 75-94.
  7. Peter Carr & Robert Jarrow & Ravi Myneni, 1992. "Alternative Characterizations Of American Put Options," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 87-106.
  8. David S. Bunch & Herb Johnson, 2000. "The American Put Option and Its Critical Stock Price," Journal of Finance, American Finance Association, vol. 55(5), pages 2333-2356, October.
  9. Carr, Peter, 1998. "Randomization and the American Put," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 597-626.
  10. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
  11. Li, Minqiang, 2008. "Approximate inversion of the Black-Scholes formula using rational functions," European Journal of Operational Research, Elsevier, vol. 185(2), pages 743-759, March.
  12. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
  13. Pressacco, Flavio & Gaudenzi, Marcellino & Zanette, Antonino & Ziani, Laura, 2008. "New insights on testing the efficiency of methods of pricing and hedging American options," European Journal of Operational Research, Elsevier, vol. 185(1), pages 235-254, February.
  14. Barone-Adesi, Giovanni, 2005. "The saga of the American put," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2909-2918, November.
  15. 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.
  16. Johnson, H. E., 1983. "An Analytic Approximation for the American Put Price," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(01), pages 141-148, March.
  17. J. D. Evans & R. Kuske & Joseph B. Keller, 2002. "American options on assets with dividends near expiry," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 219-237.
  18. S. D. Jacka, 1991. "Optimal Stopping and the American Put," Mathematical Finance, Wiley Blackwell, vol. 1(2), pages 1-14.
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