Read full paper at: http://www.scirp.org/journal/PaperInformation.aspx?PaperID=54040#.VOBOySzQrzE Author(s) Lorella Fatone 1 , Francesca Mariani 2 , Maria Cristina Recchioni 3 , Francesco Zirilli 4 Affiliation(s) 1 Dipartimento di Matematica e Informatica, Università di Camerino, Camerino, Italy . 2 Dipartimento di Scienze Economiche, Università degli Studi di Verona, Verona, Italy . 3 Dipartimento di Management, Università Politecnica delle Marche, Ancona, Italy . 4 Dipartimento di Matematica “G. Castelnuovo”, Università di Roma “La Sapienza”, Roma, Italy . ABSTRACT This paper presents a method to solve the American option pricing problem in the Black Scholes framework that generalizes the Barone-Adesi, Whaley method [1]. An auxiliary parameter is introduced in the American option pricing problem. Power series expansions in this parameter of the option price and of the corresponding free boundary are derived. These series expansions h...
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