Analysis of the free boundary for the pricing of an American call option

European Journal of Applied Mathematics

Volumn 12, Issue 1, 2001, Pages 25-37

  Ševčovič, Daniel ^a  

^a Physics and Informatics   (Slovakia)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035609364     PISSN: 09567925     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0956792501004338     Document Type: Article

References (19)

1. BARONE-ADESI, B. & WHALEY, R. E. (1987) Efficient analytic approximations of American option values. J. Finance, 42, 301-320.
2. BLACK, F. & SCHOLES, M. (1973) The pricing of options and corporate liabilities. J. Political Economy, 81, 637-654.
3. CARR, P., JARROW, R. & MYNENI, R. (1992) Alternative characterizations of American put options. Mathematical Finance, 87-105
4. DEWYNNE, J. N., HOWISON, S. D., RUPF, J. & WILMOTT, P. (1993) Some mathematical results in the pricing of American options. Euro. J. Appl. Math. 4, 381-398.
5. GESKE, R. & JOHNSON, H. E. (1984) The American put option valued analytically. J. Finance, 39, 1511-1524.
6. GESKE, R. & ROLL, R. (1984) On valuing American call options with the Black-Scholes European formula. J. Finance, 89, 443-455.
7. GRIPENBERG, S., LONDON, S.-O. & STAFFANS, O. (1990) Volterra Integral and Functional Equations. Cambridge University Press.
8. HULL, J. (1989) Options, Futures and Other Derivative Securities, pp. 384-386. Prentice Hall.
9. JOHNSON, H. (1983) An analytic approximation of the American put price. J. Finan. Quant. Anal. 18, 141-148.
10. KARATZAS, I. (1988) On the pricing American options. Appl. Math. Optim. 17, 37-60.
11. KARATZAS, I. (1989) Optimizations problems in the theory of continuous trading. SIAM J. Control Optim. 27, 1281-1254.
12. KUSKE R. A. & KELLER, J. B. (1998) Optimal exercise boundary for an American put option. Applied Mathematical Finance, 5, 107-116.
13. KWOK, Y. K. (1998) Mathematical Models of Financial Derivatives. Springer-Verlag.
14. MACMILLAN, L. W. (1986) Analytic approximation for the American put option. Adv. in Futures Options Res. 1, 119-134.
15. MYNEMI, R. (1992) The pricing of the American option. Annal. Appl. Probab. 2, 1-23.
16. ROLL, R. (1977) An analytic valuation formula for unprotected American call options on stock with known dividends. J. Finan. Economy, 5, 251-258.
17. SALOPEK, D. M. (1997) American Put Options. Pitman Monographs and Surveys in Pure and Applied Mathematics 84, Addison-Wesley Longman.
18. STAMICAR, R., ŠEVČOVIČ, D. & CHADAM, J. (1999) The early exercise boundary for the American put near expiry: numerical approximation. Canad. Appl. Math. Quart. To appear.
19. STEIN, E. M. & WEISS, G. (1971) Introduction to Fourier Analysis on Euclidean Spaces. Princeton University Press.