Technical paper/American options
Floating exercise boundaries for American options in time-inhomogeneous models
A pricing model is extended to account for negative interest rates or convenience yields
An efficient numerical method for pricing American options and their Greeks under the two-asset Kou jump-diffusion model
Pricing time-capped American options using a least squares Monte Carlo method
Pricing American options under irrational behavior in a Markov regime-switching model with a finite-element method
Pricing share buy-backs: an alternative to optimal control
A new method applies optimised heuristic strategies to maximise share buy-back contracts’ value
A multidimensional transform for pricing American options under stochastic volatility models
The authors put forward a transform-based method for pricing American options which is computationally efficient and accurate under under low-dimensional stochastic volatility models.
Pricing American options under negative rates
This paper derives a new integral equation for American options under negative rates and shows how to solve this new equation through modifications to the modern and efficient algorithm of Andersen and Lake.
Fast pricing of American options under variance gamma
This research develops a new fast and accurate approximation method, inspired by the quadratic approximation, to get rid of the time steps required in finite-difference and simulation methods, while reducing error by making use of a machine learning…
On extensions of the Barone-Adesi and Whaley method to price American-type options
This paper provides an efficient and accurate hybrid method to price American standard options in certain jump-diffusion models and American barrier-type options under the Black–Scholes framework.
Pricing American call options using the Black–Scholes equation with a nonlinear volatility function
In this paper, the authors investigate a nonlinear generalization of the Black–Scholes equation for pricing American-style call options, where the volatility term may depend on both the underlying asset price and the Gamma of the option.
Path-dependent American options
In this paper, the authors investigate a path-dependent American option problem and provide an efficient and implementable numerical scheme for the solution of its associated path-dependent variational inequality.
Complexity reduction for calibration to American options
In this paper, the authors propose and investigate a new method for the calibration to American option price data.
Efficient conservative second-order central-upwind schemes for option-pricing problems
In this paper, the authors propose improvements to the approach of Ramírez-Espinoza and Ehrhardt (2013) for option-pricing PDEs formulated in the conservative form.
Portfolio optimization for American options
In this paper, the authors construct strategies for an American option portfolio by exercising options at optimal timings with optimal weights determined concurrently.
American quantized calibration in stochastic volatility
Fiorin, Callegaro and Grasselli show how discretisation methods reduce computing time in high-dimensional problems
A hybrid tree/finite-difference approach for Heston–Hull–White-type models
In this paper, the authors study a hybrid tree/finite-difference method, which allows us to obtain efficient and accurate European and American option prices in the Heston–Hull– White and Heston–Hull–White2d models.
Local volatility from American options
De Marco and Henry-Labordère provide an approximation of American options in terms of the local volatility function
High-performance American option pricing
This paper presents a high-performance spectral collocation method for the computation of American put and call option prices.
Faster comparison of stopping times by nested conditional Monte Carlo
The authors propose a novel method for efficiently comparing the performance of different stopping times.
American options: time-critical pricing
Time constraints can be binding for ‘heavy’ Monte Carlo calculations of risk analytics – value-at-risk, potential future exposure, credit valuation adjustment – in intraday risk monitoring, so fast approximations are sometimes preferred. Vladislav…
Pricing American-style options by Monte Carlo simulation: alternatives to ordinary least squares
The authors investigate the performance of the ordinary least squares (OLS) regression method in Monte Carlo simulation algorithms for pricing American options.