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A semilinear Black and Scholes partial differential equation for valuing American options · Study

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ArticleA semilinear Black and Scholes partial differential equation for valuing American options

Fred Espen Benth2003

Article2003

A semilinear Black and Scholes partial differential equation for valuing American options

Fred Espen Benth · Kenneth Hvistendahl Karlsen · Kristin Reikvam

35 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Differential Equations and Boundary Problems

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References

1993Dynamic Asset Pricing Theory.2005Controlled Markov Processes and Viscosity Solutions 1998Methods of Mathematical Finance 1980Controlled Diffusion Processes 1991Optimal Stopping and the American Put 1977THE VALUATION OF AMERICAN PUT OPTIONS 1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS 1990Variational inequalities and the pricing of American options

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2013A Robust Numerical Scheme For Pricing American Options Under Regime Switching Based On Penalty Method

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2008A moving boundary approach to American option pricingarticle · 9 shared references 2001On the Approximation of Optimal Stopping Problems with Application to Financial Mathematicsarticle · 8 shared references 1993Convergence of the Critical Price In the Approximation of American Optionsarticle · 8 shared references 1997The Valuation of American Options on Multiple Assetsarticle · 7 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 7 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 7 shared references

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Year2003

Typearticle

Published2003-07-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations35

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800200091

openalex_workW2020885938

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