Abstract
We revisit the American put and call option valuation problems. We derive analytical formulas for the option prices and approximate ordinary differential equations for the optimal exercise boundaries. Numerical simulations yield accurate option prices and comparable computational speeds when benchmarked against the binomial method for calculating option prices. Our approach is based on the Mellin transform and an adaptation of the Kármán–Pohlausen technique for boundary layers in fluid mechanics.
Publisher
Cambridge University Press (CUP)
Reference31 articles.
1. Option pricing with Mellin transnforms
2. An analytical approximation for the American put price.;MacMillan;Adv. Futures Options Res.,1986
3. American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
4. Chiarella C. & Ziogas A. (2006) A Fourier transform analysis of the American call option on assets driven by jump-diffusion processes. URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1106029. Accessed on 3 August 2013.
Cited by
12 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献