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The valuation of American call options on the minimum of two dividend-paying assets
16 references·5 citing·27 second hop
The valuation of American call options on the minimum of two dividend-paying assets (2003)The valuation of American call options on…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…The Valuation of American Options on Multiple Assets (1997)The Valuation of American Opt…American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)American Option Valuation: Ne…American Capped Call Options on Dividend-Paying Assets (1995)American Capped Call Options …ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)ALTERNATIVE CHARACTERIZATIONS…Optimal Stopping and the American Put (1991)Optimal Stopping and the Amer…Variational inequalities and the pricing of American options (1990)Variational inequalities and …The Analytic Valuation of American Options (1990)The Analytic Valuation of Ame…On the pricing of American options (1988)On the pricing of American op…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Options on the Maximum or the Minimum of Several Assets (1987)Options on the Maximum or the…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Les Aspects Probabilistes Du Controle Stochastique (1981)Les Aspects Probabilistes Du …Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesCalcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…On optimal stopping and free boundary problems (1976)On optimal stopping and free …Multivariate option pricing with time varying volatility and correlations (2011)Multivariate option pricing w…Stock loan with automatic termination clause, cap and margin (2010)Stock loan with automatic ter…OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY (2010)OPTIMAL REDEEMING STRATEGY OF…Optimal stopping and American options (2009)Optimal stopping and American…American Options with Lookback Payoff (2005)American Options with Lookbac…The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Efficient Analytic Approximation of American Option Values (1987)Randomization and the American Put (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2001)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Stochastic Differential Equations (1972)Backward stochastic differential equations with reflection and Dynkin games (1996)Stochastic Differential Equations and Applications (1976)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Time-changed Lévy processes and option pricing (2003)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Option Pricing With V. G. Martingale Components1 (1991)Pricing and Hedging American Options: A Recursive Integration Method (1996)A general version of the fundamental theorem of asset pricing (1994)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1990The Analytic Valuation of American Options580 cited
  • 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods547 cited
  • 1991Optimal Stopping and the American Put513 cited
  • 1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS478 cited
  • 1981Les Aspects Probabilistes Du Controle Stochastique448 cited
  • 1990Variational inequalities and the pricing of American options424 cited
  • 1987Options on the Maximum or the Minimum of Several Assets405 cited
  • 1988On the pricing of American options382 cited
  • 1976On optimal stopping and free boundary problems251 cited
  • 1997The Valuation of American Options on Multiple Assets185 cited
  • 1995American Capped Call Options on Dividend-Paying Assets

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94 cited

Cited by

  • 2010OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY36 cited
  • 2011Multivariate option pricing with time varying volatility and correlations33 cited
  • 2005American Options with Lookback Payoff33 cited
  • 2009Optimal stopping and American options20 cited
  • 2010Stock loan with automatic termination clause, cap and margin19 cited