In the past three decades, we have witnessed the phenomenal growth in the trading of
financial derivatives and structured products in the financial markets around the globe and …

In this paper, an exact and explicit solution of the well-known Black–Scholes equation for the
valuation of American put options is presented for the first time. To the best of the author's …

This paper analyses the robustness of Least-Squares Monte Carlo, a technique proposed by
Longstaff and Schwartz (2001) for pricing American options. This method is based on least …

This paper introduces a Monte Carlo simulation method for pricing multidimensional
American options based on the computation of the optimal exercise frontier. We consider …

We study a free boundary problem arising from American put options. In particular we prove
existence and uniqueness for this problem, and we derive and rigorously prove high order …

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 …

In this paper, we introduce a new numerical scheme, based on the ADI (alternating direction
implicit) method, to price American put options with a stochastic volatility model. Upon …

In this paper, a new analytical formula as an approximation to the value of American put
options and their optimal exercise boundary is presented. A transform is first introduced to …

A comprehensive guide to the world's largest financial market Foreign exchange is the
world's largest financial market and continues to grow at a rapid pace. As economies …

We present an approximation method for pricing and hedging American options written on a
dividend-paying asset. This method is based on Kim (1990) equations. We demonstrate that …