A Replicating Portfolio Approach to Valuing American Options in Closed-Form

2020 ◽  
Author(s):  
Muhammad Khan
Keyword(s):  
Closed Form ◽  
American Options ◽  
Portfolio Approach ◽  
Replicating Portfolio

Pricing the American Options: A Closed-Form, Simple Formula

2019 ◽  
Author(s):  
Moawia Alghalith
Keyword(s):  
Closed Form ◽  
Simple Formula ◽  
American Options

scholarly journals Mathematical Foundation of the Replicating Portfolio Approach

2016 ◽  
Author(s):  
Jan Natolski ◽  
Ralf Werner
Keyword(s):  
Mathematical Foundation ◽  
Portfolio Approach ◽  
Replicating Portfolio

scholarly journals Mathematical foundation of the replicating portfolio approach

2017 ◽  
Vol 2018 (6) ◽  
pp. 481-504 ◽  
Author(s):  
Jan Natolski ◽  
Ralf Werner
Keyword(s):  
Mathematical Foundation ◽  
Portfolio Approach ◽  
Replicating Portfolio

A Closed-Form Solution to American Options under General Diffusions

2008 ◽  
Author(s):  
Jing Zhao ◽  
Hoi Ying Wong
Keyword(s):  
Closed Form ◽  
American Options ◽  
Closed Form Solution ◽  
Form Solution

A closed-form solution to American options under general diffusion processes

2012 ◽  
Vol 12 (5) ◽  
pp. 725-737 ◽  
Author(s):  
Jing Zhao ◽  
Hoi Ying Wong
Keyword(s):  
Closed Form ◽  
Diffusion Processes ◽  
American Options ◽  
Closed Form Solution ◽  
Form Solution

scholarly journals Near Exact Calculation of American Options

2020 ◽  
Vol 7 (3) ◽  
pp. 55
Author(s):  
Saied Simozar
Keyword(s):  
Closed Form ◽  
Term Structure ◽  
American Options ◽  
Lattice Models ◽  
Practical Approach ◽  
Exact Calculation ◽  
Closed Form Solutions ◽  
Bond Options ◽  
Bond Option ◽  
Binomial Lattice

A new practical approach for the analysis of American (bond) options is developed which is a combination of the closed form solutions and binomial lattice models. The model is calibrated to the observed term structure of rates and traded volatilities and is arbitrage free. The convergence is very fast, but numerically intensive. By extrapolation the near exact premium of an American (bond) option can be calculated.

Replicating portfolio approach to capital calculation

2017 ◽  
Vol 22 (1) ◽  
pp. 181-203 ◽  
Author(s):  
Mathieu Cambou ◽  
Damir Filipović
Keyword(s):  
Portfolio Approach ◽  
Replicating Portfolio

The modified binomial options pricing model and the revised replicating portfolio approach with the concept of sustainability options

2020 ◽  
Vol 07 (02) ◽  
pp. 2050013
Author(s):  
Tyrone T. Lin ◽  
Hui-Tzu Yen ◽  
Shu-Yen Hsu
Keyword(s):  
Net Present Value ◽  
Evaluation Criteria ◽  
Options Pricing ◽  
Pricing Model ◽  
Objective Functions ◽  
Present Value ◽  
Project Investment ◽  
Decision Variables ◽  
Portfolio Approach ◽  
Replicating Portfolio

This paper discusses whether the project investment can develop the decision-making for the concept of sustainability options. The conventional net present value (NPV) approach assesses whether the project investment should be implemented, and develops the evaluation criteria of implementing sustainability costs from the modified binomial options pricing model (BOPM) and the revised replicating portfolio approach. It treats options premium value and the replicating portfolio approach (RPA) value as the objective functions, and the options premium of the BOPM and the initial values of the RPA as the decision variables.

Closed-form Solution for American Options

2017 ◽  
Author(s):  
Wai Man Raymond Tse
Keyword(s):  
Closed Form ◽  
American Options ◽  
Closed Form Solution ◽  
Form Solution
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