Asymptotic expansion of solutions to the Black–Scholes equation arising from American option pricing near the expiry

Author:

Kazemi Seyed-Mohammad-Mahdi,Dehghan Mehdi,Foroush Bastani Ali

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference38 articles.

1. American option valuation: New bounds, approximations, and a comparison of existing methods;Broadie;Rev. Financ. Stud.,1996

2. American-Style Derivatives: Valuation and Computation;Detemple,2006

3. Pricing and hedging American options analytically: A perturbation method;Zhang;Math. Finance,2010

4. An analytic approximation for the American put price;Johnson;J. Financ. Quant. Anal.,1983

5. Option Pricing: Mathematical Models and Computation;Wilmott,1995

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