EconPapers    
Economics at your fingertips  
 

Black–Scholes like closed form formulas and numerical solutions for American style options

Fredrick Michael

Physica A: Statistical Mechanics and its Applications, 2020, vol. 550, issue C

Abstract: In this letter we show how a variation approach to a portfolio containing a European style option instrument when transformed to an American style instrument can lead to a Black–Scholes style PDE, a backwards partial differential equation, and a Black–Scholes like equality portfolio closed form solution for said American style derivative.

Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437120301424
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:550:y:2020:i:c:s0378437120301424

DOI: 10.1016/j.physa.2020.124379

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:phsmap:v:550:y:2020:i:c:s0378437120301424