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Laplace transforms and the American straddle
5 references·0 citing·20 second hop
Laplace transforms and the American straddle (2002)Laplace transforms and the American strad…Laplace transforms and American options (2000)Laplace transforms and Americ…Optimal exercise boundary for an American put option (1998)Optimal exercise boundary for…Derivatives: The Theory and Practice of Financial Engineering (1998)Derivatives: The Theory and P…On optimal stopping and free boundary problems (1976)On optimal stopping and free …Optimal stopping and free boundary problems (1974)Optimal stopping and free bou…Optimal Stopping in a Markov Process (1968)An optimal stopping problem with linear reward (1974)Funding Criteria for Research, Development, and Exploration Projects (1981)Finite-Element Methods (2012)Rational Theory of Warrant Pricing (2015)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Installment options close to expiry (2006)Semi-analytic valuation of stock loans with finite maturity (2015)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)An introduction to statistical finance (2002)An evolutionary heuristic for the index tracking problem (2003)An Engine, Not a Camera (2006)Optimal Stopping and the American Put (1991)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)
this work references cited by second hop

References

  • 1998Derivatives: The Theory and Practice of Financial Engineering554 cited
  • 1976On optimal stopping and free boundary problems251 cited
  • 1998Optimal exercise boundary for an American put option117 cited
  • 1974Optimal stopping and free boundary problems57 cited
  • 2000Laplace transforms and American options32 cited

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