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Installment options close to expiry
16 references·0 citing·38 second hop
Installment options close to expiry (2006)Installment options close to expiryRational Theory of Warrant Pricing (2015)Rational Theory of Warrant Pr…Paul Wilmott on Quantitative Finance (2006)Paul Wilmott on Quantitative …Theory of rational option pricing (2005)Theory of rational option pri…Foreign Exchange Risk: Models, Instruments and Strategies (2002)Foreign Exchange Risk: Models…American options on assets with dividends near expiry (2002)American options on assets wi…Pricing, no-arbitrage bounds and robust hedging of instalment options (2001)Pricing, no-arbitrage bounds …THE EARLY EXERCISE BOUNDARY FOR THE AMERICAN PUT NEAR EXPIRY: NUMERICAL APPROXIMATION (1999)THE EARLY EXERCISE BOUNDARY F…Optimal exercise boundary for an American put option (1998)Optimal exercise boundary for…A parity result for American options (1998)A parity result for American …Valuing moving barrier options (1997)Valuing moving barrier optionsCRITICAL STOCK PRICE NEAR EXPIRATION (1995)CRITICAL STOCK PRICE NEAR EXP…Investment Under Uncertainty. (1994)Investment Under Uncertainty.Some mathematical results in the pricing of American options (1993)Some mathematical results in …Time to build, option value, and investment decisions (1987)Time to build, option value, …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…The Variation of Certain Speculative Prices (1963)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)Martingales and stochastic integrals in the theory of continuous trading (1981)The variation of certain speculative prices (1997)American Economic Review (2019)The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)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)On optimal stopping and free boundary problems (1976)The Analytic Valuation of American Options (1990)Option pricing: Mathematical models and computation (1994)Quadratic Convergence for Valuing American Options Using a Penalty Method (2002)A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)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 American Put Option Valued Analytically (1984)Brownian Motion and Stochastic Calculus (1988)A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options (2007)Time to Build and Aggregate Fluctuations (1982)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Joint Ventures and the Option to Expand and Acquire (1991)Universal option valuation using quadrature methods (2003)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Hitting time distributions in financial markets (2007)The Impact of Uncertainty Shocks (2009)Policy Uncertainty and Corporate Investment (2015)Measuring Economic Policy Uncertainty* (2016)Option pricing: A simplified approach (1979)A Front-Fixing Finite Element Method for the Valuation of American Options (2008)Pricing American options under stochastic volatility and stochastic interest rates (2010)A predictor–corrector scheme based on the ADI method for pricing American puts with stochastic volatility (2011)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1994Investment Under Uncertainty.9,566 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2005Theory of rational option pricing7,183 cited
  • 1987Time to build, option value, and investment decisions912 cited
  • 2015Rational Theory of Warrant Pricing536 cited
  • 2006Paul Wilmott on Quantitative Finance475 cited
  • 1995CRITICAL STOCK PRICE NEAR EXPIRATION137 cited
  • 2002American options on assets with dividends near expiry119 cited
  • 1998Optimal exercise boundary for an American put option117 cited
  • 1998A parity result for American options97 cited
  • 1993Some mathematical results in the pricing of American options62 cited
  • 1999THE EARLY EXERCISE BOUNDARY FOR THE AMERICAN PUT NEAR EXPIRY: NUMERICAL APPROXIMATION58 cited
  • 1997Valuing moving barrier options56 cited
  • 2001Pricing, no-arbitrage bounds and robust hedging of instalment options53 cited
  • 2002Foreign Exchange Risk: Models, Instruments and Strategies50 cited

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