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American option prices in a Markov chain market model
16 references·1 citing·31 second hop
American option prices in a Markov chain market model (2011)American option prices in a Markov chain …Rational Theory of Warrant Pricing (2015)Rational Theory of Warrant Pr…A Benchmark Approach to Quantitative Finance (2006)A Benchmark Approach to Quant…Asset Pricing: Revised Edition (2005)Asset Pricing: Revised EditionValuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Regression methods for pricing complex American-style options (2001)Regression methods for pricin…The Econometrics of Financial Markets (1997)The Econometrics of Financial…ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)ALTERNATIVE CHARACTERIZATIONS…Optimal Stopping and the American Put (1991)Optimal Stopping and the Amer…The Analytic Valuation of American Options (1990)The Analytic Valuation of Ame…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…The American Put Option Valued Analytically (1984)The American Put Option Value…Option pricing: A simplified approach (1979)Option pricing: A simplified …Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)Finite Difference Methods and…The Valuation of American Put Options (1977)The Valuation of American Put…THE VALUATION OF AMERICAN PUT OPTIONS (1977)THE VALUATION OF AMERICAN PUT…Probability Methods for Approximations in Stochastic Control and for Elliptic Equations (1977)Probability Methods for Appro…Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions (2012)Asset Pricing Using Finite St…The Variation of Certain Speculative Prices (1963)Option pricing (1976)A contingent-claims valuation of convertible securities (1977)The variation of certain speculative prices (1997)American Economic Review (2019)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)Theory of rational option pricing (2005)Stochastic Differential Equations and Applications (1976)Controlled Diffusion Processes (1980)Pricing and Hedging American Options: A Recursive Integration Method (1996)Randomization and the American Put (1998)Martingales and arbitrage in multiperiod securities markets (1979)An analysis of a least squares regression method for American option pricing (2002)Pricing American Options: A Duality Approach (2004)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Real Options and Interactions with Financial Flexibility (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)New frontiers for arch models (2002)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Pricing American-style securities using simulation (1997)The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium (2016)Taming the Factor Zoo: A Test of New Factors (2020)The Pollution Premium (2020)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)Market Liquidity and Funding Liquidity (2008)
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References

  • 1979Option pricing: A simplified approach6,103 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 1984The American Put Option Valued Analytically728 cited
  • 2005Asset Pricing: Revised Edition718 cited
  • 2001Regression methods for pricing complex American-style options612 cited
  • 1990The Analytic Valuation of American Options580 cited
  • 2015Rational Theory of Warrant Pricing534 cited
  • 1991Optimal Stopping and the American Put513 cited
  • 1977THE VALUATION OF AMERICAN PUT OPTIONS504 cited
  • 1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS478 cited
  • 1977The Valuation of American Put Options443 cited
  • 1978Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis413 cited
  • 2006A Benchmark Approach to Quantitative Finance374 cited
  • 1977Probability Methods for Approximations in Stochastic Control and for Elliptic Equations

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  • 2012Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions22 cited