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A parity result for American options
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A parity result for American options (1998)A parity result for American optionsHigh-performance American option pricing (2016)High-performance American opt…Finite-Element Methods (2012)Finite-Element MethodsA simple iterative method for the valuation of American options (2012)A simple iterative method for…PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD (2010)PRICING AND HEDGING AMERICAN …Multivariate Extension of Put-Call Symmetry (2010)Multivariate Extension of Put…American Options: Symmetry Properties (2010)American Options: Symmetry Pr…American Continuous-Installment Options: Valuation and Premium Decomposition (2009)American Continuous-Installme…A moving boundary approach to American option pricing (2008)A moving boundary approach to…American Parisian options (2006)American Parisian optionsValuation of American Continuous-Installment Options (2005)Valuation of American Continu…CLOSED FORM VALUATION OF AMERICAN OPTIONS (2002)CLOSED FORM VALUATION OF AMER…The valuation of American barrier options using the decomposition technique (2000)The valuation of American bar…Laplace transforms and American options (2000)Laplace transforms and Americ…Changes of Numeraire for Pricing Futures, Forwards, and Options (1999)Changes of Numeraire for Pric…Recent Advances in Numerical Methods for Pricing Derivative Securities (1997)Recent Advances in Numerical …Pricing an American Option by Approximating its Early Exercise Boundary as a Piece-Wise Exponential Function (1997)Pricing an American Option by…The Pricing of Options and Corporate Liabilities (1973)Theory of rational option pricing (2005)Symmetry and duality in Lévy markets (2006)Brownian Motion and Stochastic Calculus (2007)Real Options and American Derivatives: The Double Continuation Region (2014)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Coherent Measures of Risk (1999)Theory of Rational Option Pricing (1973)On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts (2002)Inference in a synchronization game with social interactions (2008)Early exercise premium method for pricing American options under the J-model (2016)Financial Modelling with Jump Processes (2003)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Martingales and stochastic integrals in the theory of continuous trading (1981)Theory of Financial Decision Making. (1988)American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)Option pricing: A simplified approach (1979)High-resolution path-integral development of financial options (2000)A Newton method for American option pricing (2002)Option pricing when underlying stock returns are discontinuous (1976)Numerical pricing of discrete barrier and lookback options via Laplace transforms (2004)Pricing Path-Dependent Options with Jump Risk via Laplace Transforms (2005)Stochastic Integration and Differential Equations (2005)Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering (2007)Martingales and arbitrage in multiperiod securities markets (1979)American Options Under Stochastic Volatility (2011)A Simple Numerical Method for Pricing an American Put Option (2013)An approximate moving boundary method for American option pricing (2014)On the Evaluation of Compound Options (1987)Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule (2003)The Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing (2010)
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  • 2000The valuation of American barrier options using the decomposition technique97 cited
  • 1999Changes of Numeraire for Pricing Futures, Forwards, and Options92 cited
  • 1997Recent Advances in Numerical Methods for Pricing Derivative Securities60 cited
  • 1997Pricing an American Option by Approximating its Early Exercise Boundary as a Piece-Wise Exponential Function52 cited
  • 2010American Options: Symmetry Properties51 cited
  • 2008A moving boundary approach to American option pricing47 cited
  • 2012Finite-Element Methods46 cited
  • 2002CLOSED FORM VALUATION OF AMERICAN OPTIONS37 cited
  • 2010Multivariate Extension of Put-Call Symmetry33 cited
  • 2000Laplace transforms and American options32 cited
  • 2012A simple iterative method for the valuation of American options30 cited
  • 2016High-performance American option pricing29 cited
  • 2005Valuation of American Continuous-Installment Options28 cited
  • 2006American Parisian options27 cited
  • 2009American Continuous-Installment Options: Valuation and Premium Decomposition24 cited

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  • 2010PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD24 cited