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ArticleThe saga of the American put

Giovanni Barone‐Adesi2005

Article2005

The saga of the American put

Giovanni Barone‐Adesi

71 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Capital Investment and Risk Analysis

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1979Option pricing: A simplified approach 2001Valuing American Options by Simulation: A Simple Least-Squares Approach 2003Stochastic Differential Equations 1987Efficient Analytic Approximation of American Option Values 1951On stochastic differential equations

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2009Pricing American Options under the Constant Elasticity of Variance Model and Subject to Bankruptcy 2008American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach 2012A simple iterative method for the valuation of American options 2013Pricing and static hedging of American-style options under the jump to default extended CEV model

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2001On the Robustness of Least-Squares Monte Carlo (Lsm) for Pricing American Derivativespreprint · 19 shared references 2012A simple iterative method for the valuation of American optionsarticle · 19 shared references 2003On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivativesarticle · 18 shared references 2006A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONSarticle · 18 shared references 2009Pricing American Options under the Constant Elasticity of Variance Model and Subject to Bankruptcyarticle · 17 shared references 2010On modified Mellin transforms, Gauss–Laguerre quadrature, and the valuation of American call optionsarticle · 17 shared references

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Year2005

Typearticle

Published2005-03-31

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations71

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2005.02.001

openalex_workW2018904487

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