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Approximate Option Pricing
16 references·0 citing·37 second hop
Approximate Option Pricing (1999)Approximate Option PricingSimulation and the Monte Carlo Method (2016)Simulation and the Monte Carl…There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs (1995)There is no Nontrivial Hedgin…The value of an Asian option (1995)The value of an Asian optionThe pricing of forward-starting asian options (1994)The pricing of forward-starti…Option pricing: Mathematical models and computation (1994)Option pricing: Mathematical …Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Efficient Procedures for Valu…BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES (1993)BESSEL PROCESSES, ASIAN OPTIO…A Quick Algorithm for Pricing European Average Options (1991)A Quick Algorithm for Pricing…Valuing Derivative Securities Using the Explicit Finite Difference Method (1990)Valuing Derivative Securities…Security Markets: Stochastic Models. (1989)Security Markets: Stochastic …Path Dependent Options: "Buy at the Low, Sell at the High" (1979)Path Dependent Options: "Buy …Option pricing: A simplified approach (1979)Option pricing: A simplified …Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)Finite Difference Methods and…THE VALUATION OF AMERICAN PUT OPTIONS (1977)THE VALUATION OF AMERICAN PUT…Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Theory of Rational Option Pricing (1973)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)THE GARCH OPTION PRICING MODEL (1995)Monte Carlo methods for security pricing (1997)Theory of rational option pricing (2005)Theory of Financial Decision Making. (1988)A pricing method for options based on average asset values (1990)A new PDE approach for pricing arithmetic average Asian options (2001)The concept of comonotonicity in actuarial science and finance: applications (2002)Pricing and Hedging Spread Options (2003)A Theory of the Term Structure of Interest Rates (1985)Continuous Martingales and Brownian Motion (1999)Order Flow, Transaction Clock, and Normality of Asset Returns (2000)Mathematical Methods for Financial Markets (2010)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)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)Variational inequalities and the pricing of American options (1990)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)The valuation of options for alternative stochastic processes (1976)Pricing European average rate currency options (1992)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option Pricing With V. G. Martingale Components1 (1991)Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model (1993)Rational Prepayment and the Valuation of Mortgage-Backed Securities (1995)Far Field Boundary Conditions for Black--Scholes Equations (2000)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Automobile Prices in Market Equilibrium (1995)Estimation of small failure probabilities in high dimensions by subset simulation (2001)Latin hypercube sampling and the propagation of uncertainty in analyses of complex systems (2003)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 2016Simulation and the Monte Carlo Method3,356 cited
  • 1977Options: A Monte Carlo approach1,341 cited
  • 1994Option pricing: Mathematical models and computation805 cited
  • 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES557 cited
  • 1995The value of an Asian option532 cited
  • 1977THE VALUATION OF AMERICAN PUT OPTIONS504 cited
  • 1991A Quick Algorithm for Pricing European Average Options424 cited
  • 1978Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis413 cited
  • 1979Path Dependent Options: "Buy at the Low, Sell at the High"350 cited
  • 1990Valuing Derivative Securities Using the Explicit Finite Difference Method335 cited
  • 1995There is no Nontrivial Hedging Portfolio for Option Pricing with Transaction Costs286 cited
  • 1993Efficient Procedures for Valuing European and American Path-Dependent Options277 cited
  • 1989Security Markets: Stochastic Models.275 cited
  • 1994The pricing of forward-starting asian options

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