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Free boundary and optimal stopping problems for American Asian options
16 references·5 citing·43 second hop
Free boundary and optimal stopping problems for American Asian options (2007)Free boundary and optimal stopping proble…Stochastic differential equations and applications (2008)Stochastic differential equat…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Convergence of Binomial Tree Methods for European/American Path-Dependent Options (2004)Convergence of Binomial Tree …SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS (2001)SOME RESULTS ON PARTIAL DIFFE…Analytical Valuation of American-Style Asian Options (2000)Analytical Valuation of Ameri…Complete Models with Stochastic Volatility (1998)Complete Models with Stochast…Convergence of Numerical Schemes for Degenerate Parabolic Equations Arising in Finance Theory (1997)Convergence of Numerical Sche…PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS (1996)PRICING OF AMERICAN PATH‐DEPE…The value of an Asian option (1995)The value of an Asian optionVariational inequalities and the pricing of American options (1990)Variational inequalities and …Theory of Financial Decision Making. (1988)Theory of Financial Decision …On the pricing of American options (1988)On the pricing of American op…On the theory of option pricing (1984)On the theory of option prici…Stochastic Differential Equations and Applications (1976)Stochastic Differential Equat…On optimal stopping and free boundary problems (1976)On optimal stopping and free …Diffusion processes with continuous coefficients, I (1969)Diffusion processes with cont…Approximations for Asian options in local volatility models (2012)Approximations for Asian opti…Analytical and Numerical Methods for Pricing Financial Derivatives (2011)Analytical and Numerical Meth…OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY (2010)OPTIMAL REDEEMING STRATEGY OF…Path dependent volatility (2007)Path dependent volatilityCHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS (2006)CHARACTERIZATION OF OPTIMAL S…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Optimization Problems in the Theory of Continuous Trading (1989)A generalized clark representation formula, with application to optimal portfolios (1991)Optional decompositions under constraints (1997)Theory of rational option pricing (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Local martingales, bubbles and option prices (2005)A Delayed Black and Scholes Formula (2007)A pricing method for options based on average asset values (1990)BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)A new PDE approach for pricing arithmetic average Asian options (2001)The concept of comonotonicity in actuarial science and finance: applications (2002)Pricing and Hedging Spread Options (2003)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)On a Formula Concerning Stochastic Differentials (1951)On stochastic differential equations (1951)On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)Stochastic differential games (1972)Sur l'int�grabilit� uniforme des martingales exponentielles (1978)Central limit theorems for local martingales (1980)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)An Exact Bond Option Formula (1989)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Extending the Martingale Measure Stochastic Integral With Applications to Spatially Homogeneous S.P.D.E.'s (1999)Modeling Term Structures of Defaultable Bonds (1999)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)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)
this work references cited by second hop

References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2008Stochastic differential equations and applications4,595 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1976Stochastic Differential Equations and Applications1,378 cited
  • 1995The value of an Asian option532 cited
  • 1990Variational inequalities and the pricing of American options424 cited
  • 1988On the pricing of American options382 cited
  • 1969Diffusion processes with continuous coefficients, I364 cited
  • 1984On the theory of option pricing288 cited
  • 1998Complete Models with Stochastic Volatility282 cited
  • 1976On optimal stopping and free boundary problems251 cited
  • 1996PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS173 cited
  • 2001SOME RESULTS ON PARTIAL DIFFERENTIAL EQUATIONS AND ASIAN OPTIONS139 cited
  • 1997Convergence of Numerical Schemes for Degenerate Parabolic Equations Arising in Finance Theory136 cited
  • 2000Analytical Valuation of American-Style Asian Options81 cited
  • 2004Convergence of Binomial Tree Methods for European/American Path-Dependent Options

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Cited by

  • 2011Analytical and Numerical Methods for Pricing Financial Derivatives46 cited
  • 2012Approximations for Asian options in local volatility models40 cited
  • 2010OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY36 cited
  • 2006CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS34 cited
  • 2007Path dependent volatility33 cited