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On the Early Exercise Boundary of the American Put Option
3 references·4 citing·26 second hop
On the Early Exercise Boundary of the American Put Option (2002)On the Early Exercise Boundary of the Ame…Optimal exercise boundary for an American put option (1998)Optimal exercise boundary for…CRITICAL STOCK PRICE NEAR EXPIRATION (1995)CRITICAL STOCK PRICE NEAR EXP…Continuous-Time Finance. (1991)Continuous-Time Finance.High-performance American option pricing (2016)High-performance American opt…Finite-Element Methods (2012)Finite-Element MethodsRegularity of the free boundary of an American option on several assets (2008)Regularity of the free bounda…American and European options in multi-factor jump-diffusion models, near expiry (2008)American and European options…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Coherent Measures of Risk (1999)Theory of Rational Option Pricing (1973)Efficient Analytic Approximation of American Option Values (1987)Theory of rational option pricing (2005)A Note on the Continuity of Free-Boundaries in Finite-Horizon Optimal Stopping Problems for One-Dimensional Diffusions (2015)On Lipschitz Continuous Optimal Stopping Boundaries (2019)On optimal stopping and free boundary problems (1976)The Analytic Valuation of American Options (1990)Option pricing: Mathematical models and computation (1994)QUADRATIC CONVERGENCE OF A PENALTY METHOD FOR VALUING AMERICAN OPTIONS (2000)A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS (2006)CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET (2007)The American Put Option Valued Analytically (1984)Brownian Motion and Stochastic Calculus (1988)American options on assets with dividends near expiry (2002)A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options (2007)The Variance Gamma Process and Option Pricing (1998)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Fine Structure of Asset Returns: An Empirical Investigation (2002)American Options in Lévy Models with Stochastic Interest Rates (2007)Option pricing: A simplified approach (1979)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)
this work references cited by second hop

References

  • 1991Continuous-Time Finance.1,788 cited
  • 1995CRITICAL STOCK PRICE NEAR EXPIRATION137 cited
  • 1998Optimal exercise boundary for an American put option117 cited

Cited by

  • 2012Finite-Element Methods46 cited
  • 2008Regularity of the free boundary of an American option on several assets41 cited
  • 2016High-performance American option pricing29 cited
  • 2008American and European options in multi-factor jump-diffusion models, near expiry23 cited

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