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Static hedging and pricing American knock-in put options
16 references·0 citing·30 second hop
Static hedging and pricing American knock-in put options (2012)Static hedging and pricing American knock…Static hedging and pricing American options (2009)Static hedging and pricing Am…Static Hedging of Barrier Options under General Asset Dynamics (2006)Static Hedging of Barrier Opt…Static Hedging of Asian Options under Lévy Models (2005)Static Hedging of Asian Optio…An examination of the effectiveness of static hedging in the presence of stochastic volatility (2003)An examination of the effecti…Static replication of barrier options: some general results (2002)Static replication of barrier…Pricing, no-arbitrage bounds and robust hedging of instalment options (2001)Pricing, no-arbitrage bounds …The valuation of American barrier options using the decomposition technique (2000)The valuation of American bar…PDE methods for pricing barrier options (2000)PDE methods for pricing barri…The adaptive mesh model: a new approach to efficient option pricing (1999)The adaptive mesh model: a ne…STATIC HEDGING OF EXOTIC OPTIONS (1999)STATIC HEDGING OF EXOTIC OPTI…Pricing Lookback and Barrier Options under the CEV Process (1999)Pricing Lookback and Barrier …Static Hedging of Exotic Options (1998)Static Hedging of Exotic Opti…Complex Barrier Options (1996)Complex Barrier OptionsStatic Options Replication (1995)Static Options ReplicationOn Pricing Barrier Options (1995)On Pricing Barrier OptionsComputing the Constant Elasticity of Variance Option Pricing Formula (1989)Computing the Constant Elasti…Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Double-Exponential Fast Gauss Transform Algorithm for Pricing Discrete Path-Dependent Options (2005)Theory of rational option pricing (2005)CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (2011)The Pricing of Options and Corporate Liabilities (1973)The pricing of commodity contracts (1976)Returns of claims on the upside and the viability of U-shaped pricing kernels☆ (2010)The Skew Risk Premium in the Equity Index Market (2013)Arbitrage and duality in nondominated discrete-time models (2015)The valuation of options for alternative stochastic processes (1976)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)A Theory of the Term Structure of Interest Rates (1985)Complete Models with Stochastic Volatility (1998)Volatility skews and extensions of the Libor market model (2000)A jump to default extended CEV model: an application of Bessel processes (2006)Lookback options and diffusion hitting times: A spectral expansion approach (2004)Brownian Motion and Stochastic Calculus (2007)Nonergodicity of reset geometric Brownian motion (2022)Calibration and hedging under jump diffusion (2007)Robust Hedging of Double Touch Barrier Options (2011)A flexible binomial option pricing model (1999)Using Hull-White Interest Rate Trees (1996)Universal option valuation using quadrature methods (2003)Option pricing with regime switching by trinomial tree method (2009)On the Evaluation of Compound Options (1987)Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule (2003)The Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing (2010)Robust Hedging of Barrier Options (2001)Pricing and Hedging Volatility Derivatives (2008)
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References

  • 1989Computing the Constant Elasticity of Variance Option Pricing Formula316 cited
  • 1998Static Hedging of Exotic Options286 cited
  • 1999The adaptive mesh model: a new approach to efficient option pricing222 cited
  • 1995On Pricing Barrier Options201 cited
  • 2000PDE methods for pricing barrier options195 cited
  • 1995Static Options Replication191 cited
  • 1999STATIC HEDGING OF EXOTIC OPTIONS181 cited
  • 1999Pricing Lookback and Barrier Options under the CEV Process124 cited
  • 1996Complex Barrier Options116 cited
  • 2000The valuation of American barrier options using the decomposition technique97 cited
  • 2005Static Hedging of Asian Options under Lévy Models73 cited
  • 2002Static replication of barrier options: some general results62 cited
  • 2001Pricing, no-arbitrage bounds and robust hedging of instalment options53 cited
  • 2009Static hedging and pricing American options39 cited
  • 2003An examination of the effectiveness of static hedging in the presence of stochastic volatility39 cited
  • 2006Static Hedging of Barrier Options under General Asset Dynamics

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