SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Exercise Regions And Efficient Valuation Of American Lookback Options
16 references·0 citing·30 second hop
Exercise Regions And Efficient Valuation Of American Lookback Options (2004)Exercise Regions And Efficient Valuation …Theory of rational option pricing (2005)Theory of rational option pri…Connecting discrete and continuous path-dependent options (1999)Connecting discrete and conti…Pricing by American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function (1998)Pricing by American Option by…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…Pricing and Hedging American Options: A Recursive Integration Method (1996)Pricing and Hedging American …The Russian Option: Reduced Regret (1993)The Russian Option: Reduced R…Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Efficient Procedures for Valu…Path Dependent Options: The Case of Lookback Options (1991)Path Dependent Options: The C…Variational inequalities and the pricing of American options (1990)Variational inequalities and …The Analytic Valuation of American Options (1990)The Analytic Valuation of Ame…On the pricing of American options (1988)On the pricing of American op…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesOption 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…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Pricing American-style securities using simulation (1997)A Comparison of Three Methods for Selecting Values of Input Variables in the Analysis of Output from a Computer Code (2000)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Measuring Market Risk (2005)The Pricing of Options and Corporate Liabilities (1973)Optimal Stopping and the American Put (1991)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)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)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)Brownian Motion and Stochastic Calculus (2007)THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Option Prices as Predictors of Equilibrium Stock Prices (1982)
this work references cited by second hop

References

  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1990The Analytic Valuation of American Options580 cited
  • 1977THE VALUATION OF AMERICAN PUT OPTIONS504 cited
  • 1977The Valuation of American Put Options443 cited
  • 1990Variational inequalities and the pricing of American options424 cited
  • 1988On the pricing of American options382 cited
  • 1996Pricing and Hedging American Options: A Recursive Integration Method294 cited
  • 1991Path Dependent Options: The Case of Lookback Options281 cited
  • 1993Efficient Procedures for Valuing European and American Path-Dependent Options277 cited
  • 1998Pricing by American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function241 cited
  • 1993The Russian Option: Reduced Regret229 cited
  • 1999Connecting discrete and continuous path-dependent options

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

208 cited

Cited by

No citing works inside the corpus for this window.