We introduce a new analytical approach to price American options. Using an explicit and
intuitive proxy for the exercise rule, we derive tractable pricing formulas using a short …

Our aim in this paper is to approximate the price of an American call option written on a
dividend-paying stock close to expiry using an asymptotic analytic approach. We use the …

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 …

This paper investigates the American option price in a two-state regime-switching model.
The dynamics of underlying are driven by a Markov-modulated Geometric Wiener process …

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 …

We use an asymptotic expansion to study the behavior of the American put option close to
expiry for the case where the dividend yield is less than or equal to the risk-free interest rate …

We address the pricing of American straddle options. We use a technique due to Kim (1990)
to derive an expression involving integrals for the price of such an option close to expiry. We …

We study the binomial, trinomial, and Black-Scholes-Merton models of option pricing. We
present fast parallel discrete-time finite-difference algorithms for American call option pricing …

We use Laplace transform methods to examine the optimal exercise boundary for shout
options, which give the holder the right to lock in the profit to date while retaining the right to …