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A Simple Numerical Method for Pricing an American Put Option
16 references·0 citing·26 second hop
A Simple Numerical Method for Pricing an American Put Option (2013)A Simple Numerical Method for Pricing an …A predictor–corrector scheme based on the ADI method for pricing American puts with stochastic volatility (2011)A predictor–corrector scheme …An exact and explicit solution for the valuation of American put options (2006)An exact and explicit solutio…Theory of rational option pricing (2005)Theory of rational option pri…Penalty and front-fixing methods for the numerical solution of American option problems (2002)Penalty and front-fixing meth…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Pricing by American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function (1998)Pricing by American Option by…Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model (1997)Optimal Stopping, Free Bounda…Valuing Derivative Securities Using the Explicit Finite Difference Method (1990)Valuing Derivative Securities…The Analytic Valuation of American Options (1990)The Analytic Valuation of Ame…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…The American Put Option Valued Analytically (1984)The American Put Option Value…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…On optimal stopping and free boundary problems (1976)On optimal stopping and free …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)The impact of default risk on the prices of options and other derivative securities (1995)Valuing Options in Regime-Switching Models (1998)Valuing American Options in a Path Simulation Model (2002)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)Optimal Stopping and the American Put (1991)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Real Options and Interactions with Financial Flexibility (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Pricing American-style securities using simulation (1997)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 1984The American Put Option Valued Analytically728 cited
  • 1990The Analytic Valuation of American Options580 cited
  • 1978Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis413 cited
  • 1990Valuing Derivative Securities Using the Explicit Finite Difference Method335 cited
  • 1976On optimal stopping and free boundary problems251 cited
  • 1998Pricing by American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function241 cited
  • 2006An exact and explicit solution for the valuation of American put options236 cited
  • 1997Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model189 cited
  • 2002Penalty and front-fixing methods for the numerical solution of American option problems

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175 cited
  • 2011A predictor–corrector scheme based on the ADI method for pricing American puts with stochastic volatility70 cited
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