This paper mainly discusses the American option’s hedging strategies via binomial model and the basic idea of pricing and hedging American option. Although the essential scheme of hedging is almost the same as European option, small differences may arise when simulating the process for American option holder has more rights, spelling that the option can be exercised at anytime before its maturi...

European Range Accrual Option pricing and deviation Formula has been deduced through observing the foundational asset probabilistic distribution characteristics with help of Ito’s lemma, relaxing boundary assumption to infinity zero respectively, classical Black-Scholes option formula worked out. This paper subsequently articulates numerical value simulated computation algorithm using...

A meshfree approximation scheme based on the radial basis function methods is presented for the numerical solution of the options pricing model. This thesis deals with the valuation of the European, Barrier, Asian, American options of a single asset and American options of multi assets. The option prices are modeled by the Black-Scholes equation. The θ-method is used to discretize the equation ...

Examples of the analytical approximations are provided in Milevsky and Posner 1998 [3] and [4] who compare the relative accuracy of the lognormal or the inverse gamma distribution for approximating the sum of lognormal distributions. Tree based methods were originally proposed by Cox et al 1979 [2] and adopted in Wan 2002 [5]. Monte Carlo methods were first proposed by Boyle 1977 [1] as an alte...

We study the applicability of meshfree approximation schemes for the solution of multi-asset American option problems. In particular, we consider a penalty method which allows us to remove the free and moving boundary by adding a small and continuous penalty term to the Black-Scholes equation. A comparison with results obtained recently by two of the authors using a linearly implicit finite dif...