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An explicit series approximation to the optimal exercise boundary of American put options
16 references·0 citing·26 second hop
An explicit series approximation to the optimal exercise boundary of American put options (2009)An explicit series approximation to the o…An exact and explicit solution for the valuation of American put options (2006)An exact and explicit solutio…American options on assets with dividends near expiry (2002)American options on assets wi…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…The American Put Option and Its Critical Stock Price (2000)The American Put Option and I…Optimal exercise boundary for an American put option (1998)Optimal exercise boundary for…Numerical Methods in Finance (1997)Numerical Methods in FinancePricing and Hedging American Options: A Recursive Integration Method (1996)Pricing and Hedging American …American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)American Option Valuation: Ne…CRITICAL STOCK PRICE NEAR EXPIRATION (1995)CRITICAL STOCK PRICE NEAR EXP…ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)ALTERNATIVE CHARACTERIZATIONS…Variational inequalities and the pricing of American options (1990)Variational inequalities and …The Analytic Valuation of American Options (1990)The Analytic Valuation of Ame…The American Put Option Valued Analytically (1984)The American Put Option Value…Option pricing: A simplified approach (1979)Option pricing: A simplified …The Valuation of American Put Options (1977)The Valuation of American Put…THE VALUATION OF AMERICAN PUT OPTIONS (1977)THE VALUATION OF AMERICAN PUT…The Pricing of Options and Corporate Liabilities (1973)Efficient Analytic Approximation of American Option Values (1987)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)Theory of Rational Option Pricing (1973)Optimal Stopping and the American Put (1991)Theory of rational option pricing (2005)Martingales and stochastic integrals in the theory of continuous trading (1981)Foreign currency option values (1983)Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model (1997)Multigrid for American option pricing with stochastic volatility (1999)PDE methods for pricing barrier options (2000)THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)Option Pricing With V. G. Martingale Components1 (1991)Brownian Motion and Stochastic Calculus (2007)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)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Real Options and Interactions with Financial Flexibility (1993)Pricing American-style securities using simulation (1997)Pricing by American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function (1998)On the Rate of Convergence of Discrete‐Time Contingent Claims (2000)Option Prices as Predictors of Equilibrium Stock Prices (1982)
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References

  • 1979Option pricing: A simplified approach6,103 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1984The American Put Option Valued Analytically728 cited
  • 1990The Analytic Valuation of American Options580 cited
  • 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods547 cited
  • 1977THE VALUATION OF AMERICAN PUT OPTIONS504 cited
  • 1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS478 cited
  • 1977The Valuation of American Put Options443 cited
  • 1990Variational inequalities and the pricing of American options424 cited
  • 1996Pricing and Hedging American Options: A Recursive Integration Method294 cited
  • 2006An exact and explicit solution for the valuation of American put options236 cited
  • 1997Numerical Methods in Finance206 cited
  • 1995CRITICAL STOCK PRICE NEAR EXPIRATION137 cited
  • 2000The American Put Option and Its Critical Stock Price121 cited
  • 2002American options on assets with dividends near expiry119 cited
  • 1998Optimal exercise boundary for an American put option

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