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Dmitri Faguet's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
543 |
Total
Citations
7 |
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1.
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Peter P. Carr
New York University - Courant Institute of Mathematical Sciences Dmitri Faguet
Johnson Wax, Ukraine
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03 Oct 96
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Last Revised:
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15 May 98
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543
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7
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Abstract:
We show how the value of a finite-lived option can be interpreted as the limit of a sequence of perpetual option values subject to default risk. This interpretation yields new closed form approximations for European and American option values in the Black Scholes model. Numerical results indicate that the approximation is both accurate and computationally efficient.
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2.
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Peter P. Carr
New York University - Courant Institute of Mathematical Sciences Dmitri Faguet
Johnson Wax, Ukraine
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20 Dec 98
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Last Revised:
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04 Mar 08
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Abstract:
We present a novel approach for contingent claim valuation in the Black Scholes model called the ANALYTIC METHOD OF LINES. The approach is applied to the valuation of American options for which early exercise is optimal. We develop explicit valuation formulae for both the option value and the critical stock price. The formulae are arbitrarily accurate and computationally efficient. We compare our results against other approaches and find significantly improved speed and accuracy.
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