SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A dynamic programming approach to price installment options
8 references·3 citing·34 second hop
A dynamic programming approach to price installment options (2004)A dynamic programming approach to price i…Installment Options and Static Hedging (2002)Installment Options and Stati…A Dynamic Programming Procedure for Pricing American-Style Asian Options (2002)A Dynamic Programming Procedu…Pricing, no-arbitrage bounds and robust hedging of instalment options (2001)Pricing, no-arbitrage bounds …Option pricing: Mathematical models and computation (1994)Option pricing: Mathematical …Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives (1990)Pricing Warrants: An Empirica…The Valuation of Corporate Liabilities as Compound Options (1977)The Valuation of Corporate Li…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…A MODEL OF WARRANT PRICING IN A DYNAMIC MARKET (1970)A MODEL OF WARRANT PRICING IN…Valuing continuous-installment options (2009)Valuing continuous-installmen…American Continuous-Installment Options: Valuation and Premium Decomposition (2009)American Continuous-Installme…Valuation of American Continuous-Installment Options (2005)Valuation of American Continu…The Pricing of Options on Assets with Stochastic Volatilities (1987)Static versus Dynamic Hedging of Exotic Options: An Evaluation of Hedge Performance via Simulation (2002)“Options, Futures, and Other Derivatives” (2016)Theory of Rational Option Pricing (1973)Robustness of option-like warrant valuation (1994)CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL WITH TIME-DEPENDENT PARAMETERS (2000)Theory of rational option pricing (2005)Reverse convertible bonds analyzed (2009)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Option pricing: A simplified approach (1979)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options (2003)CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS (2006)Dynamic Programming Approach for Valuing Options in the GARCH Model (2008)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The American Put Option Valued Analytically (1984)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)The valuation of compound options (1979)Static Options Replication (1995)STATIC HEDGING OF EXOTIC OPTIONS (1999)The Evaluation of Venture Capital as an Instalment Option: Valuing Real Options Using Real Options (2004)Brownian Motion in the Stock Market (1959)The Behavior of Stock-Market Prices (1965)The Random Character of Stock Market Prices (1968)Equity warrants pricing model under Fractional Brownian motion and an empirical study (2008)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)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1977The Valuation of Corporate Liabilities as Compound Options830 cited
  • 1994Option pricing: Mathematical models and computation805 cited
  • 1990Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives133 cited
  • 2001Pricing, no-arbitrage bounds and robust hedging of instalment options53 cited
  • 1970A MODEL OF WARRANT PRICING IN A DYNAMIC MARKET45 cited
  • 2002A Dynamic Programming Procedure for Pricing American-Style Asian Options42 cited
  • 2002Installment Options and Static Hedging34 cited

Cited by

  • 2009Valuing continuous-installment options29 cited
  • 2005Valuation of American Continuous-Installment Options28 cited
  • 2009American Continuous-Installment Options: Valuation and Premium Decomposition24 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work