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ArticleApproximate Option Pricing

Prasad Chalasani1999

Article1999

Approximate Option Pricing

Prasad Chalasani · Isaac Saias

19 citations·0/0 files stored·Algorithmica

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Stochastic processes and financial applications Financial Markets and Investment Strategies Complexity and Algorithms in Graphs

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References

1973The Pricing of Options and Corporate Liabilities 1979Option pricing: A simplified approach 2016Simulation and the Monte Carlo Method 1977Options: A Monte Carlo approach 1994Option pricing: Mathematical models and computation 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES 1995The value of an Asian option 1977THE VALUATION OF AMERICAN PUT OPTIONS

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2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 9 shared references 1997Path-Dependent Options: Extending the Monte Carlo Simulation Approacharticle · 8 shared references 1997Recent Advances in Numerical Methods for Pricing Derivative Securitieschapter · 8 shared references 2002A Dynamic Programming Procedure for Pricing American-Style Asian Optionsarticle · 8 shared references 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applicationsarticle · 7 shared references 2004Option Pricing: Valuation Models and Applicationsarticle · 7 shared references

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Year1999

Typearticle

Published1999-05-01

VenueAlgorithmica

ISSN-L0178-4617

Languageen

Citations19

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/pl00009280

openalex_workW2005184690

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