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The Valuation of American Put Options

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Cited by:

  1. Kathrin Glau & Mirco Mahlstedt & Christian Potz, 2018. "A new approach for American option pricing: The Dynamic Chebyshev method," Papers 1806.05579, arXiv.org.
  2. Oliver Musshoff & Norbert Hirschauer, 2008. "Investment planning under uncertainty and flexibility: the case of a purchasable sales contract ," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 52(1), pages 17-36, March.
  3. Jin, Xing & Li, Xun & Tan, Hwee Huat & Wu, Zhenyu, 2013. "A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction," European Journal of Operational Research, Elsevier, vol. 231(2), pages 362-370.
  4. Bowe, Michael & Lee, Ding Lun, 2004. "Project evaluation in the presence of multiple embedded real options: evidence from the Taiwan High-Speed Rail Project," Journal of Asian Economics, Elsevier, vol. 15(1), pages 71-98, February.
  5. Shun Chen & Shiyuan Zheng & Qiang Zhang, 2018. "Investment decisions under uncertainty on LNG-powered vessels for environmental compliance," Journal of Shipping and Trade, Springer, vol. 3(1), pages 1-19, December.
  6. Giandomenico, Rossano, 2014. "Finance & Stochastic," MPRA Paper 71627, University Library of Munich, Germany.
  7. Jing Zhao & Hoi Ying Wong, 2012. "A closed-form solution to American options under general diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 725-737, July.
  8. R. Kalantari & S. Shahmorad & D. Ahmadian, 2016. "The Stability Analysis of Predictor–Corrector Method in Solving American Option Pricing Model," Computational Economics, Springer;Society for Computational Economics, vol. 47(2), pages 255-274, February.
  9. Yacin Jerbi, 2016. "Early exercise premium method for pricing American options under the J-model," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 2(1), pages 1-26, December.
  10. Dilip B. Madan & Frank Milne, 1991. "Option Pricing With V. G. Martingale Components," Working Paper 1159, Economics Department, Queen's University.
  11. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
  12. Veld, C.H., 1989. "The use of the implied standard deviation as a predictor of future stock price variability : A review of empirical tests," Research Memorandum FEW 410, Tilburg University, School of Economics and Management.
  13. 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.
  14. Lee, Jung-Kyung, 2020. "A simple numerical method for pricing American power put options," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
  15. 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.
  16. 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.
  17. Jeechul Woo & Chenru Liu & Jaehyuk Choi, 2018. "Leave-One-Out Least Square Monte Carlo Algorithm for Pricing American Options," Papers 1810.02071, arXiv.org, revised Sep 2020.
  18. 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.
  19. S. C. P. Yam & W. Zhou, 2017. "Optimal Liquidation of Child Limit Orders," Mathematics of Operations Research, INFORMS, vol. 42(2), pages 517-545, May.
  20. Andrea Gamba & Lenos Trigeorgis, 2007. "An Improved Binomial Lattice Method for Multi-Dimensional Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 453-475.
  21. Minqiang Li, 2010. "A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes," Review of Derivatives Research, Springer, vol. 13(2), pages 177-217, July.
  22. Yerkin Kitapbayev, 2019. "Closed form optimal exercise boundary of the American put option," Papers 1912.05438, arXiv.org.
  23. Chuang-Chang Chang & Jun-Biao Lin & Wei-Che Tsai & Yaw-Huei Wang, 2012. "Using Richardson extrapolation techniques to price American options with alternative stochastic processes," Review of Quantitative Finance and Accounting, Springer, vol. 39(3), pages 383-406, October.
  24. 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.
  25. 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.
  26. Andrea Barth & Santiago Moreno–Bromberg & Oleg Reichmann, 2016. "A Non-stationary Model of Dividend Distribution in a Stochastic Interest-Rate Setting," Computational Economics, Springer;Society for Computational Economics, vol. 47(3), pages 447-472, March.
  27. Mark Broadie & Jérôme Detemple, 1996. "American Options on Dividend-Paying Assets," CIRANO Working Papers 96s-16, CIRANO.
  28. Li, Chenxu & Ye, Yongxin, 2019. "Pricing and Exercising American Options: an Asymptotic Expansion Approach," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
  29. Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2020. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 331-356, February.
  30. Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
  31. 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.
  32. Arun Chockalingam & Kumar Muthuraman, 2011. "American Options Under Stochastic Volatility," Operations Research, INFORMS, vol. 59(4), pages 793-809, August.
  33. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "Nonparametric estimation of American options' exercise boundaries and call prices," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1829-1857, October.
  34. Stephane Villeneuve & Antonino Zanette, 2002. "Parabolic ADI Methods for Pricing American Options on Two Stocks," Mathematics of Operations Research, INFORMS, vol. 27(1), pages 121-149, February.
  35. Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020. "Neural Network Pricing of American Put Options," Risks, MDPI, Open Access Journal, vol. 8(3), pages 1-24, July.
  36. Kimura, Toshikazu, 2010. "Valuing executive stock options: A quadratic approximation," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1368-1379, December.
  37. Giandomenico, Rossano, 2015. "Financial Methods: A Quantitative Approach," MPRA Paper 71919, University Library of Munich, Germany.
  38. Leif Andersen & Mark Broadie, 2004. "Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options," Management Science, INFORMS, vol. 50(9), pages 1222-1234, September.
  39. Miyazaki, Kenji & Saito, Makoto, 1999. "On the market risk involved in the public financial system in Japan: A theoretical and numerical investigation," Journal of Banking & Finance, Elsevier, vol. 23(8), pages 1243-1259, August.
  40. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2012. "Valuing American Options Using Fast Recursive Projections," Swiss Finance Institute Research Paper Series 12-26, Swiss Finance Institute.
  41. Leisen, Dietmar P. J., 1998. "Pricing the American put option: A detailed convergence analysis for binomial models," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1419-1444, August.
  42. 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.
  43. S. Dyrting, 2004. "Pricing equity options everywhere," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 663-676.
  44. Dimitrakopoulos, Roussos G. & Abdel Sabour, Sabry A., 2007. "Evaluating mine plans under uncertainty: Can the real options make a difference?," Resources Policy, Elsevier, vol. 32(3), pages 116-125, September.
  45. B. S. Balakrishna, 1996. "Analytic Representations and Approximations to American Option Pricing," Finance 9602002, University Library of Munich, Germany, revised 13 Apr 1996.
  46. 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.
  47. Chiarella, Carl & Ziogas, Andrew, 2005. "Evaluation of American strangles," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 31-62, January.
  48. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "American options with stochastic dividends and volatility: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 53-92.
  49. Babbs, Simon, 2000. "Binomial valuation of lookback options," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1499-1525, October.
  50. Marc Chesney & Jean Lefoll, 1996. "Predicting premature exercise of an American put on stocks: theory and empirical evidence," The European Journal of Finance, Taylor & Francis Journals, vol. 2(1), pages 21-39.
  51. Perrakis, Stylianos & Lefoll, Jean, 2004. "The American put under transactions costs," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 915-935, February.
  52. Nagae, Takeshi & Akamatsu, Takashi, 2008. "A generalized complementarity approach to solving real option problems," Journal of Economic Dynamics and Control, Elsevier, vol. 32(6), pages 1754-1779, June.
  53. Ruas, João Pedro & Dias, José Carlos & Vidal Nunes, João Pedro, 2013. "Pricing and static hedging of American-style options under the jump to default extended CEV model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4059-4072.
  54. Stephen F. Gray, 1989. "Put Call Parity: An Extension of Boundary Conditions," Australian Journal of Management, Australian School of Business, vol. 14(2), pages 151-169, December.
  55. Carl Chiarella & Jonathan Ziveyi, 2014. "Pricing American options written on two underlying assets," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 409-426, March.
  56. Cheng Lee & Gwo-Hshiung Tzeng & Shin-Yun Wang, 2005. "A Fuzzy Set Approach for Generalized CRR Model: An Empirical Analysis of S&P 500 Index Options," Review of Quantitative Finance and Accounting, Springer, vol. 25(3), pages 255-275, November.
  57. repec:spr:compst:v:70:y:2009:i:3:p:505-525 is not listed on IDEAS
  58. Lian, Yu-Min & Liao, Szu-Lang & Chen, Jun-Home, 2015. "State-dependent jump risks for American gold futures option pricing," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 115-133.
  59. Guthrie, Graeme, 2020. "Investment flexibility as a barrier to entry," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
  60. Manuel Moreno & Javier Navas, 2003. "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives," Review of Derivatives Research, Springer, vol. 6(2), pages 107-128, May.
  61. Phelan, C. E. & Marazzina, D. & Germano, G., 2020. "Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities," LSE Research Online Documents on Economics 103780, London School of Economics and Political Science, LSE Library.
  62. Darae Jeong & Minhyun Yoo & Changwoo Yoo & Junseok Kim, 2019. "A Hybrid Monte Carlo and Finite Difference Method for Option Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 111-124, January.
  63. Veld, C.H., 1989. "The use of the implied standard deviation as a predictor of future stock price variability : A review of empirical tests," Other publications TiSEM 08556ccd-9dff-4b7e-8de8-2, Tilburg University, School of Economics and Management.
  64. Jérôme Detemple, 2014. "Optimal Exercise for Derivative Securities," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 459-487, December.
  65. 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.
  66. Massimo Costabile & Arturo Leccadito & Ivar Massabó, 2009. "Computationally simple lattice methods for option and bond pricing," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 32(2), pages 161-181, November.
  67. Barone-Adesi, Giovanni, 2005. "The saga of the American put," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2909-2918, November.
  68. Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020. "Neural Network pricing of American put options," Working Papers REM 2020/0122, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  69. Song-Ping Zhu & Xin-Jiang He & XiaoPing Lu, 2018. "A new integral equation formulation for American put options," Quantitative Finance, Taylor & Francis Journals, vol. 18(3), pages 483-490, March.
  70. Gerald Buetow, Jr. & Joseph Albert, 1998. "The Pricing of Embedded Options in Real Estate Lease Contracts," Journal of Real Estate Research, American Real Estate Society, vol. 15(3), pages 253-266.
  71. Christian Bayer & Juho Happola & Ra'ul Tempone, 2017. "Implied Stopping Rules for American Basket Options from Markovian Projection," Papers 1705.00558, arXiv.org, revised Jun 2017.
  72. 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.
  73. Erhan Bayraktar & Hao Xing, 2009. "Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(3), pages 505-525, December.
  74. 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.
  75. Akamatsu, Takashi & Nagae, Takeshi, 2011. "A network of options: Evaluating complex interdependent decisions under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 714-729, May.
  76. Groh, Alexander P., 2004. "Risikoadjustierte Performance von Private Equity-Investitionen," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 21382, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
  77. 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.
  78. Siddiqui, Afzal S. & Marnay, Chris & Wiser, Ryan H., 2007. "Real options valuation of US federal renewable energy research, development, demonstration, and deployment," Energy Policy, Elsevier, vol. 35(1), pages 265-279, January.
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  86. Engstrom, Malin & Norden, Lars, 2000. "The early exercise premium in American put option prices," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 461-479, December.
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  92. Chow, Joseph Y.J. & Regan, Amelia C., 2011. "Network-based real option models," Transportation Research Part B: Methodological, Elsevier, vol. 45(4), pages 682-695, May.
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  94. Xiaolin Luo & Pavel V. Shevchenko, 2014. "Fast and Simple Method for Pricing Exotic Options using Gauss-Hermite Quadrature on a Cubic Spline Interpolation," Papers 1408.6938, arXiv.org, revised Dec 2014.
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  99. Roland Mallier & Ghada Alobaidi, 2000. "Laplace transforms and American options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(4), pages 241-256.
  100. Tinne Haentjens & Karel in 't Hout, 2013. "ADI schemes for pricing American options under the Heston model," Papers 1309.0110, arXiv.org.
  101. Chockalingam, Arun & Muthuraman, Kumar, 2015. "An approximate moving boundary method for American option pricing," European Journal of Operational Research, Elsevier, vol. 240(2), pages 431-438.
  102. Hadjiyannakis, Steve & Culumovic, Louis & Welch, Robert L., 1998. "The relative mispricing of the constant variance American put model," International Review of Economics & Finance, Elsevier, vol. 7(2), pages 149-171.
  103. Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2011.
  104. G. Dorfleitner & J. Gerer, 2020. "Time consistent pricing of options with embedded decisions," Review of Derivatives Research, Springer, vol. 23(1), pages 85-119, April.
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  107. Maria do Rosário Grossinho & Yaser Kord Faghan & Daniel Ševčovič, 2017. "Pricing Perpetual Put Options by the Black–Scholes Equation with a Nonlinear Volatility Function," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(4), pages 291-308, December.
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