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Pricing options with Green's functions when volatility, interest rate and barriers depend on time
14 references·2 citing·38 second hop
Pricing options with Green's functions when volatility, interest rate and barriers depend on time (2008)Pricing options with Green's functions wh…Local time and the pricing of time-dependent barrier options (2008)Local time and the pricing of…Paul Wilmott on Quantitative Finance (2006)Paul Wilmott on Quantitative …Maximum Likelihood Estimation of Latent Affine Processes (2006)Maximum Likelihood Estimation…Universal option valuation using quadrature methods (2003)Universal option valuation us…A simple approach for pricing barrier options with time-dependent parameters (2003)A simple approach for pricing…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…The valuation of American barrier options using the decomposition technique (2000)The valuation of American bar…Comment on 'Pricing double barrier options using Laplace transforms' by Antoon Pelsser (2000)Comment on 'Pricing double ba…The Complete Guide to Option Pricing Formulas (1997)The Complete Guide to Option …Pricing Barrier Options with Time–Dependent Coefficients (1997)Pricing Barrier Options with …A Continuity Correction for Discrete Barrier Options (1997)A Continuity Correction for D…PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION1 (1996)PRICING CALLABLE BONDS BY MEA…Pricing Options With Curved Boundaries 1 (1992)Pricing Options With Curved B…Corrections and additions to ‘a nonlinear equilibrium model of the term structure of interest rates’ (1992)Corrections and additions to …A numerical method for pricing discrete double barrier option by Legendre multiwavelet (2017)A numerical method for pricin…A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate (2013)A very fast and accurate boun…A nonlinear general equilibrium model of the term structure of interest rates (1989)General Solutions of Some Interest Rate-Contingent Claim Pricing Equations (1991)A Parametric Nonlinear Model of Term Structure Dynamics (1999)Pricing Swaptions Within an Affine Framework (2002)Quadratic Term Structure Models: Theory and Evidence (2002)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Static Hedging of Exotic Options (1998)Pricing and Hedging Path-Dependent Options Under the CEV Process (2001)Theory of rational option pricing (2005)The American Put Option Valued Analytically (1984)Pricing discretely monitored Asian options under Lévy processes (2008)A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model (2011)“Options, Futures, and Other Derivatives” (2016)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Numerical Methods in Economics (1998)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Demand-Based Option Pricing (2005)Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices (2010)The Time Variation in Risk Appetite and Uncertainty (2017)Connecting discrete and continuous path-dependent options (1999)Brownian Motion and Stochastic Calculus (2007)Multilevel Monte Carlo Path Simulation (2008)Design of computer experiments: A review (2017)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Hitting time distributions in financial markets (2007)Credit Default Swap Calibration and Equity Swap Valuation Under Counterparty Risk with a Tractable Structural Model (2004)A Highly Accurate Finite Element Method to Price Discrete Double Barrier Options (2013)On pricing barrier options with regime switching (2013)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)The Analytic Valuation of American Options (1990)Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule (2003)The Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing (2010)
this work references cited by second hop

References

  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,228 cited
  • 1997The Complete Guide to Option Pricing Formulas537 cited
  • 2006Paul Wilmott on Quantitative Finance475 cited
  • 1997A Continuity Correction for Discrete Barrier Options351 cited
  • 1992Pricing Options With Curved Boundaries 1268 cited
  • 2006Maximum Likelihood Estimation of Latent Affine Processes258 cited
  • 2003Universal option valuation using quadrature methods147 cited
  • 2000The valuation of American barrier options using the decomposition technique97 cited
  • 2003A simple approach for pricing barrier options with time-dependent parameters89 cited
  • 1992Corrections and additions to ‘a nonlinear equilibrium model of the term structure of interest rates’85 cited
  • 1997Pricing Barrier Options with Time–Dependent Coefficients62 cited
  • 1996PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION140 cited
  • 2008Local time and the pricing of time-dependent barrier options32 cited
  • 2000Comment on 'Pricing double barrier options using Laplace transforms' by Antoon Pelsser26 cited

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  • 2013A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate

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16 cited
  • 2017A numerical method for pricing discrete double barrier option by Legendre multiwavelet15 cited