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The early exercise premium in American put option prices
16 references·1 citing·21 second hop
The early exercise premium in American put option prices (2000)The early exercise premium in American pu…Theory of rational option pricing (2005)Theory of rational option pri…Daily and Intradaily Tests of European Put-Call Parity (1995)Daily and Intradaily Tests of…The Use of the Control Variate Technique in Option Pricing (1988)The Use of the Control Variat…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…The American Put Option Valued Analytically (1984)The American Put Option Value…On the valuation of American call options on stocks with known dividends (1981)On the valuation of American …Option pricing: A simplified approach (1979)Option pricing: A simplified …A note on an analytical valuation formula for unprotected American call options on stocks with known dividends (1979)A note on an analytical valua…The Valuation of American Put Options (1977)The Valuation of American Put…THE VALUATION OF AMERICAN PUT OPTIONS (1977)THE VALUATION OF AMERICAN PUT…Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…An analytic valuation formula for unprotected American call options on stocks with known dividends (1977)An analytic valuation formula…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES: COMMENT (1973)THE RELATIONSHIP BETWEEN PUT …The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)THE RELATIONSHIP BETWEEN PUT …The value of shorting (2007)The value of shortingThe Random Character of Stock Market Prices (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)The Random Character of Stock Market Prices. (1965)The Valuation of Convertible Securities (1966)A Complete Model of Warrant Pricing that Maximizes Utility (1969)An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)Evaluating Natural Resource Investments (1985)Theory of Financial Decision Making. (1988)Introductory Econometrics for Finance (2008)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Empirical Performance of Alternative Option Pricing Models (1997)Post-'87 crash fears in the S&P 500 futures option market (2000)Martingales and stochastic integrals in the theory of continuous trading (1981)Irreversibility, Uncertainty, and Investment (1990)Arbitrage Theory in Continuous Time (1998)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2005Theory of rational option pricing7,183 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1977Options: A Monte Carlo approach1,367 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 1984The American Put Option Valued Analytically728 cited
  • 1977THE VALUATION OF AMERICAN PUT OPTIONS504 cited
  • 1977The Valuation of American Put Options443 cited
  • 1969THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES385 cited
  • 1977An analytic valuation formula for unprotected American call options on stocks with known dividends378 cited
  • 1981On the valuation of American call options on stocks with known dividends267 cited
  • 1979A note on an analytical valuation formula for unprotected American call options on stocks with known dividends237 cited
  • 1988The Use of the Control Variate Technique in Option Pricing204 cited
  • 1995Daily and Intradaily Tests of European Put-Call Parity165 cited
  • 1973THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES: COMMENT

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  • 2007The value of shorting17 cited