American options: finite time horizon

Svetlana Boyarchenko and Sergei Z. Levendorskiĭ
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Sergei Z. Levendorskiĭ: Rostov State University of Economics, Russia

Chapter 6 in Non-Gaussian Merton-Black-Scholes Theory, 2002, pp 151-164 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:General discussionThe free boundary problemThe role of dividends and non-zero interest rateApproximations of the American put priceGeske-Johnson approximationAnalytic method of linesCarr's randomizationAmerican put near expiryBehaviour of the early exercise boundary near the maturity dategeneral equation for h(Δ) in the case of NTS processesThe case of processes of order ν ∈ [1,2)

Keywords: Non-Gaussian Models; Merton-Black-Scholes Theory; Levy Processes; American Options; European Options; Feller Processes (search for similar items in EconPapers)
Date: 2002
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