An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options

An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options

This paper deals with a new numerical method for the approximation of the early exercise boundary in the American option pricing problem. In more detail, using the mean-value theorem for integrals, we provide a flexible algorithm that allows for reaching a more accurate numerical solution with fewer...

Full description

Bibliographic Details
Main Authors:	Denis Veliu, Roberto De Marchis, Mario Marino, Antonio Luciano Martire
Format:	Article
Language:	English
Published:	MDPI AG 2022-12-01
Series:	Mathematics
Subjects:	American put pricing nonstandard Volterra integral equations free boundary problem
Online Access:	https://www.mdpi.com/2227-7390/11/1/187

Similar Items

Estimating the Early Exercise Premium of American Put Index Options
by: Ako Doffou
Published: (2009-03-01)

Pricing American bond options using a cubic spline collocation method
by: Abdelmajid El hajaji, et al.
Published: (2014-09-01)

Analytic Approximation for American Straddle Options
by: Joanna Goard, et al.
Published: (2022-04-01)

A Front-Fixing Implicit Finite Difference Method for the American Put Options Model
by: Riccardo Fazio, et al.
Published: (2021-04-01)

Neural Network Pricing of American Put Options
by: Raquel M. Gaspar, et al.
Published: (2020-07-01)

Sensitivity of option contracts
by: Raimonda Martinkute-Kauliene
Published: (2013-06-01)

On a Free Boundary Problem for American Options Under the Generalized Black–Scholes Model
by: Jung-Kyung Lee
Published: (2020-09-01)

On Some Nonstandard Asymptotic Approximation of Integrals and Series
by: Tahir Ismail, et al.
Published: (2005-12-01)

A nonstandard finite difference scheme for solving three-species food chain with fractional-order Lotka-Volterra model
by: Sadegh Zibaei, et al.
Published: (2016-02-01)

An evolving political landscape: Political reform, boundary changes and the 2014 local elections
by: Kavanagh Adrian P.
Published: (2015-08-01)

Pricing European and American Installment Options
by: Joanna Goard, et al.
Published: (2022-09-01)

Option pricing in Heston model by means of weak approximations
by: Antanas Lenkšas, et al.
Published: (2013-12-01)

Approximate Solution of Linear Boundary Value Problem Defined on Semi Infinite Interval
by: Bushra E. Kashem
Published: (2013-05-01)

Approximation of the Huxley equation with nonstandard finite-difference scheme
by: M. Namjoo, et al.
Published: (2019-03-01)

Approximate Solutions for a Class of Predator–Prey Systems with Nonstandard Finite Difference Schemes
by: Kamsing Nonlaopon, et al.
Published: (2022-08-01)

Sustainability of funded pension schemes: A financial position perspective using options
by: Ishay Wolf, et al.
Published: (2021-10-01)

Analysis of Options Contract, Option Pricing in Agricultural Products
by: H. Tamidy, et al.
Published: (2016-03-01)

A Symbolic Method for Solving a Class of Convolution-Type Volterra–Fredholm–Hammerstein Integro-Differential Equations under Nonlocal Boundary Conditions
by: Efthimios Providas, et al.
Published: (2023-01-01)

OPTIONS OF TRANSPORT FOR KOSICE’S SURROUNDING IN NONSTANDARD TIMES
by: Lucia Ballová
Published: (2016-03-01)

Extended Nonstandard Neutrosophic Logic, Set, and Probability Based on Extended Nonstandard Analysis
by: Florentin Smarandache
Published: (2019-04-01)

Nonstandard Finite Difference Schemes for an SIR Epidemic Model
by: Mohammad Mehdizadeh Khalsaraei, et al.
Published: (2021-11-01)

Pricing Multidimensional American Options
by: Elettra Agliardi, et al.
Published: (2023-03-01)

Numerical solution of differential – difference equations having an interior layer using nonstandard finite differences
by: R. Omkar, et al.
Published: (2023-06-01)

Nonstandard Analysis [electronic resource]: /
by: 195179 Vath, Martin, et al.
Published: (2007)

An introduction to nonstandard real analysis /
by: 314491 Hurd, Albert E., et al.
Published: (1985)

Nonstandard analysis : recent developments /
Published: (1983)

Applied nonstandard analysis /
by: 429964 Davis, Martin
Published: (1977)

Contributions to non-standard analysis /
by: Symposium on Non-Standard Analysis (1970 : Oberwolfach), et al.
Published: (1972)

Nonstandard analysis / Martin Vath
by: Vath, Martin, 1967-
Published: (2007)

Victoria Symposium on Nonstandard Analysis, University of Victoria, Canada, May 8-11, 1972 : proceedings /
by: Victoria Symposium on Nonstandard Analysis (1972 : Victoria, Canada), et al.
Published: (1974)

Introduction to the theory of infinitesimals /
by: 312946 Stroyan, K. D., et al.
Published: (1976)

Nonstandard analysis in practice /
by: Diener, Francine, et al.
Published: (1995)

Non-standard analysis /
by: Robinson, Abraham, 1918-1974
Published: (1974)

ACCOUNTING FOR OPTIONS AND ANALYSIS OF USE OF OPTION COMBINATION STRATEGIES
by: I. Derun
Published: (2016-08-01)

The Optimization of the Approximate Method of the Solution of Linear Boundary Value Problems for Volterra Integrodifferential Equations with Functional Delays
by: G. A. Shishkin
Published: (2017-03-01)

A comparison principle for an American option on several assets: Index and spread options
by: Peter Laurence, et al.
Published: (2003-07-01)

Exact and Nonstandard Finite Difference Schemes for Coupled Linear Delay Differential Systems
by: María Ángeles Castro, et al.
Published: (2019-11-01)

Risk reduction in wheat production with weather put option
by: Marković Todor, et al.
Published: (2011-01-01)

A derivative-type operator and its application to the solvability of a nonlinear three point boundary value problem
by: René Erlín Castillo, et al.
Published: (2022-12-01)

Analytic Valuation Formula for American Strangle Option in the Mean-Reversion Environment
by: Junkee Jeon, et al.
Published: (2022-07-01)