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A Variational Inequality Arising from European Installment Call Options Pricing
8 references·0 citing·31 second hop
A Variational Inequality Arising from European Installment Call Options Pricing (2008)A Variational Inequality Arising from Eur…Valuation of American Continuous-Installment Options (2005)Valuation of American Continu…Theory of rational option pricing (2005)Theory of rational option pri…LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS (2004)LAPLACE TRANSFORMS AND INSTAL…Installment Options and Static Hedging (2002)Installment Options and Stati…Pricing, no-arbitrage bounds and robust hedging of instalment options (2001)Pricing, no-arbitrage bounds …Optimal exercise boundary for an American put option (1998)Optimal exercise boundary for…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Random Character of Stock Market Prices (1968)THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)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)A dynamic programming approach to price installment options (2004)“Options, Futures, and Other Derivatives” (2016)On optimal stopping and free boundary problems (1976)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)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)The valuation of compound options (1979)Static Options Replication (1995)STATIC HEDGING OF EXOTIC OPTIONS (1999)Valuing continuous-installment options (2009)Investment under Uncertainty (1994)An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation (2007)The Valuation of Corporate Liabilities as Compound Options (1977)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Instalment Options: A Closed-Form Solution and the Limiting Case (2008)A variational inequality arising from American installment call options pricing (2009)American Continuous-Installment Options: Valuation and Premium Decomposition (2009)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,084 cited
  • 2005Theory of rational option pricing7,183 cited
  • 1998Optimal exercise boundary for an American put option117 cited
  • 2001Pricing, no-arbitrage bounds and robust hedging of instalment options53 cited
  • 2004LAPLACE TRANSFORMS AND INSTALLMENT OPTIONS36 cited
  • 2002Installment Options and Static Hedging34 cited
  • 2005Valuation of American Continuous-Installment Options28 cited

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