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American Options: A Comparison of Numerical Methods
16 references·4 citing·29 second hop
American Options: A Comparison of Numerical Methods (1997)American Options: A Comparison of Numeric…Theory of rational option pricing (2005)Theory of rational option pri…American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)American Option Valuation: Ne…The Pricing of the American Option (1992)The Pricing of the American O…A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach (1992)A Simple and Numerically Effi…Optimal Stopping and the American Put (1991)Optimal Stopping and the Amer…Multinomial Approximating Models for Options with k State Variables (1991)Multinomial Approximating Mod…On the pricing of American options (1988)On the pricing of American op…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…The American Put Option Valued Analytically (1984)The American Put Option Value…On the theory of option pricing (1984)On the theory of option prici…Two-State Option Pricing (1979)Two-State Option PricingOption pricing: A simplified approach (1979)Option pricing: A simplified …THE VALUATION OF AMERICAN PUT OPTIONS (1977)THE VALUATION OF AMERICAN PUT…Option Pricing: The American Put (1977)Option Pricing: The American …On optimal stopping and free boundary problems (1976)On optimal stopping and free …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…High-performance American option pricing (2016)High-performance American opt…Finite-Element Methods (2012)Finite-Element MethodsA moving boundary approach to American option pricing (2008)A moving boundary approach to…On the Robustness of Least-Squares Monte Carlo (Lsm) for Pricing American Derivatives (2001)On the Robustness of Least-Sq…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of Rational Option Pricing (1973)Option Prices as Predictors of Equilibrium Stock Prices (1982)Urban Land Prices Under Uncertainty (1985)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Robustness of the Black and Scholes Formula (1998)Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives (1999)A stochastic mesh method for pricing high-dimensional American options (2004)Brownian Motion and Stochastic Calculus (2007)THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)Variational inequalities and the pricing of American options (1990)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Stochastic Differential Equations and Applications (1976)Controlled Diffusion Processes (1980)Pricing and Hedging American Options: A Recursive Integration Method (1996)Randomization and the American Put (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2001)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Real Options and Interactions with Financial Flexibility (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Pricing American-style securities using simulation (1997)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 1984The American Put Option Valued Analytically728 cited
  • 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods547 cited
  • 1991Optimal Stopping and the American Put513 cited
  • 1977THE VALUATION OF AMERICAN PUT OPTIONS504 cited
  • 1979Two-State Option Pricing470 cited
  • 1988On the pricing of American options382 cited
  • 1992The Pricing of the American Option348 cited
  • 1984On the theory of option pricing288 cited
  • 1991Multinomial Approximating Models for Options with k State Variables283 cited
  • 1976On optimal stopping and free boundary problems251 cited
  • 1977Option Pricing: The American Put209 cited
  • 1992A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach130 cited

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Cited by

  • 2008A moving boundary approach to American option pricing47 cited
  • 2012Finite-Element Methods46 cited
  • 2001On the Robustness of Least-Squares Monte Carlo (Lsm) for Pricing American Derivatives44 cited
  • 2016High-performance American option pricing29 cited