Are American options European after all?

Pricing American-Style Derivatives with European Call Options

W present a new approach to pricing American-style derivatives that is applicable to any Markovian setting (i.e., not limited to geometric Brownian motion) for which European call-option prices are readily available. By approximating the value function with an appropriately chosen interpolation function, the pricing of an American-style derivative with arbitrary payoff function is converted to ...

Revisiting the Greeks for European and American options

A Discrete Time Approach for European and American Barrier Options

The extension of the Black{Scholes option pricing theory to the valuation of barrier options is reconsidered. Working in the binomial framework of CRR we show how various types of barrier options can be priced either by backward induction or by closed binomial formulas. We also consider analytically and numerically the convergence of the prices in discrete time to their continuous{time limits. ...

Pricing European and American options by radial basis point interpolation

We propose the use of the meshfree radial basis point interpolation (RBPI) to solve the Black–Scholes model for European and American options. The RBPI meshfree method offers several advantages over the more conventional radial basis function approximation, nevertheless it has never been applied to option pricing, at least to the very best of our knowledge. In this paper the RBPI is combined wi...

Fungi are Not All “Fun-Guys” after All

The evolution of human history has greatly influenced human infectious diseases. For instance, the emergence of industrialization and the human population increase and conglomeration both directly contribute to the spread of microbes. Although the progress of medicine has helped to control infectious diseases, at the same time the advent of certain medical practices has actually favored the occ...