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Instalment Options: A Closed-Form Solution and the Limiting Case
10 references·0 citing·33 second hop
Instalment Options: A Closed-Form Solution and the Limiting Case (2008)Instalment Options: A Closed-Form Solutio…FX Options and Structured Products (2017)FX Options and Structured Pro…FX Options and Structured Products (2006)FX Options and Structured Pro…Valuation of American Continuous-Installment Options (2005)Valuation of American Continu…A dynamic programming approach to price installment options (2004)A dynamic programming approac…Pricing, no-arbitrage bounds and robust hedging of instalment options (2001)Pricing, no-arbitrage bounds …Modelling Financial Derivatives with MATHEMATICA (1998)Modelling Financial Derivativ…Binomial models for option valuation - examining and improving convergence (1996)Binomial models for option va…The valuation of compound options (1979)The valuation of compound opt…Option pricing: A simplified approach (1979)Option pricing: A simplified …Foreign Exchange Risk (1976)Foreign Exchange RiskThe Pricing of Options and Corporate Liabilities (1973)The Pricing of Options on Assets with Stochastic Volatilities (1987)Installment Options and Static Hedging (2002)Static versus Dynamic Hedging of Exotic Options: An Evaluation of Hedge Performance via Simulation (2002)“Options, Futures, and Other Derivatives” (2016)Theory of Rational Option Pricing (1973)Determinants of corporate borrowing (1977)Irreversibility, Uncertainty, and Investment (1990)The Valuation of Corporate Liabilities as Compound Options (1977)Option pricing: Mathematical models and computation (1994)American Continuous-Installment Options: Valuation and Premium Decomposition (2009)Valuing continuous-installment options (2009)Martingales and stochastic integrals in the theory of continuous trading (1981)American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)On the Rate of Convergence of Discrete‐Time Contingent Claims (2000)A stochastic mesh method for pricing high-dimensional American options (2004)Numerical solution of stochastic differential equations (2016)Evaluating Natural Resource Investments (1985)Theory of rational option pricing (2005)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A Variational Inequality Arising from European Installment Call Options Pricing (2008)A variational inequality arising from American installment call options pricing (2009)Continuous Martingales and Brownian Motion (1999)Monte Carlo Methods in Financial Engineering (2003)Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls (2008)Parametrix Approximation of Diffusion Transition Densities (2010)On the computation of option prices and Greeks under the CEV model (2013)A Guide to FX Options Quoting Conventions (2010)On the valuation of fader and discrete barrier options in Heston's stochastic volatility model (2010)FX Volatility Smile Construction (2012)CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (2011)Smiles all around: FX joint calibration in a multi-Heston model (2013)Crash-neutral currency carry trades (2014)
this work references cited by second hop

References

  • 1979Option pricing: A simplified approach6,103 cited
  • 1979The valuation of compound options1,107 cited
  • 1996Binomial models for option valuation - examining and improving convergence173 cited
  • 2006FX Options and Structured Products93 cited
  • 2017FX Options and Structured Products90 cited
  • 1998Modelling Financial Derivatives with MATHEMATICA59 cited
  • 1976Foreign Exchange Risk53 cited
  • 2001Pricing, no-arbitrage bounds and robust hedging of instalment options53 cited
  • 2004A dynamic programming approach to price installment options33 cited
  • 2005Valuation of American Continuous-Installment Options28 cited

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