Pricing the American options using the Black–Scholes pricing formula

Moawia Alghalith

Physica A: Statistical Mechanics and its Applications, 2018, vol. 507, issue C, 443-445

Abstract: We develop a simple, exact, explicit, and analytical solution to the American option partial differential equation PDE using the Black–Scholes pricing formula.

Keywords: American option pricing; Analytical exact explicit solution; The Black–Scholes PDE (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:507:y:2018:i:c:p:443-445

DOI: 10.1016/j.physa.2018.05.087

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