This paper derives an explicit series approximation solution for the optimal exercise
boundary of an American put option by means of a new analytical method for strongly …

An installment option is a derivative financial security where the price is paid in installments
instead of as a lump sum at the time of purchase. The valuation of these options involves a …

本文简述同伦分析方法基本思想, 最新理论进展及其在流体力学, 固体力学, 一般力学, 量子力学,
应用数学, 金融等科学和工程领域的应用. 同伦分析方法不依赖物理小参数, 适用范围更广 …

We use an asymptotic expansion to study the behavior of installment options close to expiry.
Installment options are contracts where the price is paid over the life of the option rather than …

We consider series solutions for the location of the optimal exercise boundary of an
American option close to expiry. By using Monte Carlo methods, we compute the expected …

The valuation of American options is an optimal stopping time problem which typically leads
to a free boundary problem. We introduce here the randomization of the exercisability of the …

In this paper, a brief review of the current advances of the homotopy analysis method (HAM)
in theory and applications is given. The HAM is an analytic approximation method for highly …

We use an asymptotic expansion to study the behavior of American-style interest rate
caplets and floorlets close to expiry, under the assumption that interest rates obey a mean …

Asymptotic Analysis of Shout Options Close to Expiry - Alobaidi - 2014 - International Scholarly
Research Notices - Wiley Online Library Skip to Article Content Skip to Article Information …

The homotopy analysis method (HAM) is successfully combined with the Laplace transform
to solve the famous American put option equation in finance. Unlike asymptotic and/or …