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Evaluation of American option prices in a path integral framework using Fourier–Hermite series expansions

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References

1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods547 cited
1992The Pricing of the American Option348 cited
1996Pricing and Hedging American Options: A Recursive Integration Method294 cited
1994CONTINGENT CLAIMS VALUED AND HEDGED BY PRICING AND INVESTING IN A BASIS157 cited
1997The Path Integral Approach to Financial Modeling and Options Pricing108 cited
1994Fast Accurate Valuation of American Options60 cited

Cited by

2004Applications of δ-function perturbation to the pricing of derivative securities29 cited
2008Computational Methods in Financial Engineering27 cited
2005A path integral approach to asset-liability management24 cited
2015Path integral and asset pricing23 cited
2002A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS23 cited
2003Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium22 cited

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