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American Option Valuation under Continuous-Time Markov Chains
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American Option Valuation under Continuous-Time Markov Chains (2015)American Option Valuation under Continuou…Optimal stopping and free-boundary problems (2006)Optimal stopping and free-bou…ON THE AMERICAN OPTION PROBLEM (2005)ON THE AMERICAN OPTION PROBLEMOption Pricing Under a Double Exponential Jump Diffusion Model (2004)Option Pricing Under a Double…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…The Fine Structure of Asset Returns: An Empirical Investigation (2002)The Fine Structure of Asset R…Non-Gaussian Merton-Black-Scholes Theory (2002)Non-Gaussian Merton-Black-Sch…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Numerical Methods for Stochastic Control Problems in Continuous Time (2001)Numerical Methods for Stochas…OPTION PRICING FOR TRUNCATED LÉVY PROCESSES (2000)OPTION PRICING FOR TRUNCATED …Randomization and the American Put (1998)Randomization and the America…Mathematics of Derivative Securities (1998)Mathematics of Derivative Sec…The Constant Elasticity of Variance Option Pricing Model (1996)The Constant Elasticity of Va…Optimal Stopping and the American Put (1991)Optimal Stopping and the Amer…Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Option pricing: A simplified approach (1979)Option pricing: A simplified …Pricing American drawdown options under Markov models (2021)Pricing American drawdown opt…Multiple channel queues in heavy traffic. I (1970)Open Queueing Networks in Heavy Traffic (1984)Martingale Methods in Financial Modelling (1997)An introduction to stochastic partial differential equations (2006)A Dynamic Model of Optimal Capital Structure (2007)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)Theory of rational option pricing (2005)Stochastic Differential Equations and Applications (1976)Controlled Diffusion Processes (1980)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Pricing and Hedging American Options: A Recursive Integration Method (1996)The Behavior of Stock-Market Prices (1965)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Optimal stopping and perpetual options for Lévy processes (2002)First passage times of a jump diffusion process (2003)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS (2005)Information Quality and Long‐Run Risk: Asset Pricing Implications (2010)Investment Shocks and Asset Prices (2011)Arbitrage Theory in Continuous Time (1998)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)Optimality results for dividend problems in insurance (2009)Waiting for News in the Market for Lemons (2012)Sorting through Search and Matching Models in Economics (2017)
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References

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  • 2003Financial Modelling with Jump Processes3,217 cited
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  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,400 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
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  • 2001Numerical Methods for Stochastic Control Problems in Continuous Time654 cited
  • 1991Optimal Stopping and the American Put513 cited
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  • 1996The Constant Elasticity of Variance Option Pricing Model376 cited
  • 1998Mathematics of Derivative Securities337 cited
  • 2002Non-Gaussian Merton-Black-Scholes Theory324 cited
  • 2000OPTION PRICING FOR TRUNCATED LÉVY PROCESSES284 cited
  • 2005ON THE AMERICAN OPTION PROBLEM207 cited

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Cited by

  • 2021Pricing American drawdown options under Markov models26 cited