American Option Pricing with Time-Varying Parameters

  • Meng Wu
  • Nanjing Huang
  • Huiqiang Ma
Conference paper
Part of the Lecture Notes in Electrical Engineering book series (LNEE, volume 241)


In this paper, we provide an explicit formula for American option pricing on a dividend-paying equity when the parameters in Black–Scholes equation are time dependent. By using a general transformation, the option value is shown as an explicit formula which is based on the value of American option with constant parameters. Finally, the optimal boundary of American option is given.


Option pricing Time-varying parameters American put option Black–scholes equation 


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This work was supported by the Special Funds of Sichuan University of the Fundamental Research Funds for the Central Universities (SKQY201330).


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Copyright information

© Springer-Verlag Berlin Heidelberg 2014

Authors and Affiliations

  1. 1.School of BusinessSichuan UniversityChengduPeople’s Republic of China
  2. 2.Department of MathematicsSichuan UniversityChengduPeople’s Republic of China

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