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

Citations

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Cited by:

  1. Qianru Shang & Brian Byrne, 2021. "American option pricing: Optimal Lattice models and multidimensional efficiency tests," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 514-535, April.
  2. Kirkby, J. Lars & Nguyen, Duy & Cui, Zhenyu, 2017. "A unified approach to Bermudan and barrier options under stochastic volatility models with jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 75-100.
  3. Dong Yan & Xin-Jie Huang & Guiyuan Ma & Xin-Jiang He, 2025. "Pricing American options with exogenous and endogenous transaction costs," Papers 2509.00485, arXiv.org, revised Sep 2025.
  4. 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.
  5. Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020. "Neural Network Pricing of American Put Options," Risks, MDPI, vol. 8(3), pages 1-24, July.
  6. Ting Chen & Mark Joshi, 2012. "Truncation and acceleration of the Tian tree for the pricing of American put options," Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1695-1708, November.
  7. 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.
  8. Cristina Viegas & Jos� Azevedo-Pereira, 2012. "Mortgage valuation: a quasi-closed-form solution," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 993-1001, May.
  9. Leunglung Chan & Song-Ping Zhu, 2014. "An exact and explicit formula for pricing lookback options with regime switching," Papers 1407.4864, arXiv.org.
  10. Leunglung Chan & Song-Ping Zhu, 2014. "An exact and explicit formula for pricing Asian options with regime switching," Papers 1407.5091, arXiv.org.
  11. 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.
  12. Hayat, T. & Abbas, Z. & Sajid, M., 2009. "MHD stagnation-point flow of an upper-convected Maxwell fluid over a stretching surface," Chaos, Solitons & Fractals, Elsevier, vol. 39(2), pages 840-848.
  13. Sajid, M. & Hayat, T., 2008. "The application of homotopy analysis method to thin film flows of a third order fluid," Chaos, Solitons & Fractals, Elsevier, vol. 38(2), pages 506-515.
  14. Takayuki Sakuma & Yuji Yamada, 2014. "Application of Homotopy Analysis Method to Option Pricing Under Lévy Processes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(1), pages 1-14, March.
  15. Morteza Garshasbi & Shadi Malek Bagomghaleh, 2025. "On a Black–Scholes American Call Option Model," Computational Economics, Springer;Society for Computational Economics, vol. 65(4), pages 2179-2204, April.
  16. Wei, Wei & Zhu, Dan, 2022. "Generic improvements to least squares monte carlo methods with applications to optimal stopping problems," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1132-1144.
  17. Hayat, T. & Abbas, Z., 2008. "Heat transfer analysis on the MHD flow of a second grade fluid in a channel with porous medium," Chaos, Solitons & Fractals, Elsevier, vol. 38(2), pages 556-567.
  18. 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.
  19. He, Yong & Zhou, Xia & Chen, Peimin & Wang, Xiaoyang, 2022. "An analytical solution for the robust investment-reinsurance strategy with general utilities," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  20. Mojtaba Hajipour & Alaeddin Malek, 2015. "Efficient High-Order Numerical Methods for Pricing of Options," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 31-47, January.
  21. Minqiang Li, 2010. "Analytical approximations for the critical stock prices of American options: a performance comparison," Review of Derivatives Research, Springer, vol. 13(1), pages 75-99, April.
  22. Chen, Wenting & Yan, Bowen & Lian, Guanghua & Zhang, Ying, 2016. "Numerically pricing American options under the generalized mixed fractional Brownian motion model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 180-189.
  23. Lu, Xiaoping & Yan, Dong & Zhu, Song-Ping, 2022. "Optimal exercise of American puts with transaction costs under utility maximization," Applied Mathematics and Computation, Elsevier, vol. 415(C).
  24. Maxim Ulrich & Lukas Zimmer & Constantin Merbecks, 2023. "Implied volatility surfaces: a comprehensive analysis using half a billion option prices," Review of Derivatives Research, Springer, vol. 26(2), pages 135-169, October.
  25. Riccardo Fazio, 2015. "A Posteriori Error Estimator for a Front-Fixing Finite Difference Scheme for American Options," Papers 1504.04594, arXiv.org.
  26. Lee, Jung-Kyung, 2020. "A simple numerical method for pricing American power put options," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
  27. Wenting Chen & Kai Du & Xinzi Qiu, 2017. "Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives," Papers 1701.01515, arXiv.org.
  28. 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.
  29. Jun Cheng & Jin Zhang, 2012. "Analytical pricing of American options," Review of Derivatives Research, Springer, vol. 15(2), pages 157-192, July.
  30. Chinonso Nwankwo & Weizhong Dai, 2020. "An Adaptive and Explicit Fourth Order Runge-Kutta-Fehlberg Method Coupled with Compact Finite Differencing for Pricing American Put Options," Papers 2007.04408, arXiv.org, revised Jul 2021.
  31. Park, Sang-Hyeon & Kim, Jeong-Hoon, 2013. "A semi-analytic pricing formula for lookback options under a general stochastic volatility model," Statistics & Probability Letters, Elsevier, vol. 83(11), pages 2537-2543.
  32. Song-Ping Zhu & Guiyuan Ma, 2018. "An analytical solution for the HJB equation arising from the Merton problem," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-26, March.
  33. In oon Kim & Bong-Gyu Jang & Kyeong Tae Kim, 2013. "A simple iterative method for the valuation of American options," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 885-895, May.
  34. Ravi Kashyap, 2022. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, vol. 315(2), pages 1175-1215, August.
  35. Liu, Yanchu & Cui, Zhenyu & Zhang, Ning, 2016. "Integral representation of vega for American put options," Finance Research Letters, Elsevier, vol. 19(C), pages 204-208.
  36. Cristina Viegas & José Azevedo-Pereira, 2020. "A Quasi-Closed-Form Solution for the Valuation of American Put Options," IJFS, MDPI, vol. 8(4), pages 1-16, October.
  37. Alghalith, Moawia, 2020. "Pricing the American options: A closed-form, simple formula," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 548(C).
  38. Leunglung Chan & Song-Ping Zhu, 2021. "An Analytic Approach for Pricing American Options with Regime Switching," JRFM, MDPI, vol. 14(5), pages 1-20, April.
  39. Song-Ping Zhu & Nhat-Tan Le & Wen-Ting Chen & Xiaoping Lu, 2015. "Pricing Parisian down-and-in options," Papers 1511.01564, arXiv.org.
  40. 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.
  41. Ludovic Mathys, 2019. "On Extensions of the Barone-Adesi & Whaley Method to Price American-Type Options," Papers 1912.00454, arXiv.org.
  42. Ravi Kashyap, 2016. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Papers 1609.01274, arXiv.org, revised Mar 2022.
  43. Sajid, M. & Hayat, T., 2009. "The application of homotopy analysis method for MHD viscous flow due to a shrinking sheet," Chaos, Solitons & Fractals, Elsevier, vol. 39(3), pages 1317-1323.
  44. Cang, Jie & Tan, Yue & Xu, Hang & Liao, Shi-Jun, 2009. "Series solutions of non-linear Riccati differential equations with fractional order," Chaos, Solitons & Fractals, Elsevier, vol. 40(1), pages 1-9.
  45. 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.
  46. Wenting Chen & Song-Ping Zhu, 2022. "On the Asymptotic Behavior of the Optimal Exercise Price Near Expiry of an American Put Option under Stochastic Volatility," JRFM, MDPI, vol. 15(5), pages 1-19, April.
  47. Xin‐Jiang He & Song‐Ping Zhu, 2018. "On full calibration of hybrid local volatility and regime‐switching models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(5), pages 586-606, May.
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