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

DOI: 10.1016/j.physa.2020.124379

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