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 …

We present qualitative and quantitative comparisons of various analytical and numerical
approximation methods for calculating a position of the early exercise boundary of American …

We first analyse the effect of a square root transformation to the time variable on the
convergence of the Crank–Nicolson scheme when applied to the solution of the heat …

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 …

The purpose of this paper is to analyze and compute the early exercise boundary for a class
of nonlinear Black-Scholes equations with a nonlinear volatility which can be a function of …

The purpose of this survey chapter is to present a transformation technique that can be used
in analysis and numerical computation of the early exercise boundary for an American style …

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 …

Recent results for pricing American options based on Mellin transforms are used to derive
several approximations for the critical stock price of a finite-living American option. We prove …

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 …

This thesis is concerned with the application of the Mellin integral trans-form to specific
problems in the theory of option pricing. We study both, initial-boundary and free-boundary …