SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Pricing Bermudan Options in Lévy Process Models
16 references·3 citing·22 second hop
Pricing Bermudan Options in Lévy Process Models (2013)Pricing Bermudan Options in Lévy Process …A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)A Novel Pricing Method for Eu…Theory of rational option pricing (2005)Theory of rational option pri…Option pricing by transform methods: extensions, unification and error control (2004)Option pricing by transform m…Lévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…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…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Option valuation using the fast Fourier transform (1999)Option valuation using the fa…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model (1998)New Insights into Smile, Misp…American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)American Option Valuation: Ne…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Computable Error Bounds of Laplace Inversion for Pricing Asian Options (2018)Computable Error Bounds of La…A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models (2017)A Fast Preconditioned Penalty…Robust Option Pricing with Characteristic Functions and the B-Spline Order of Density Projection (2014)Robust Option Pricing with Ch…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Stochastic Volatility for Lévy Processes (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)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)Continuous Martingales and Brownian Motion (1999)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)The Behavior of Stock-Market Prices (1965)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)The Relative Contribution of Jumps to Total Price Variance (2005)What's Vol Got to Do with It (2010)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Time-changed Lévy processes and option pricing (2003)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1999Option valuation using the fast Fourier transform2,155 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2002The Fine Structure of Asset Returns: An Empirical Investigation1,725 cited
  • 2003Lévy processes in finance pricing financial derivatives807 cited
  • 2008A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions718 cited
  • 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods547 cited
  • 1998New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model449 cited
  • 2004Option pricing by transform methods: extensions, unification and error control328 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2002Non-Gaussian Merton-Black-Scholes Theory324 cited
  • Cited by

    • 2014Robust Option Pricing with Characteristic Functions and the B-Spline Order of Density Projection28 cited
    • 2017A Fast Preconditioned Penalty Method for American Options Pricing Under Regime-Switching Tempered Fractional Diffusion Models26 cited
    • 2018Computable Error Bounds of Laplace Inversion for Pricing Asian Options25 cited