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A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach

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References

1979The valuation of compound options1,107 cited
1984The American Put Option Valued Analytically728 cited
1985Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques218 cited

Cited by

2003On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives127 cited
2000The American Put Option and Its Critical Stock Price121 cited
2002The Valuation of American Options for a Class of Diffusion Processes106 cited
2000The valuation of American barrier options using the decomposition technique97 cited
1999An Approximate Formula for Pricing American Options93 cited
1999PRICING AND HEDGING AMERICAN OPTIONS: A RECURSIVE INTEGRATION METHOD86 cited
1995Multivariate Binomial Approximations for Asset Prices with Nonstationary Variance and Covariance Characteristics63 cited
1997The Valuation of American Options with Stochastic Interest Rates: A Generalization of the Geske-Johnson Technique62 cited
1997Recent Advances in Numerical Methods for Pricing Derivative Securities60 cited
1997American Options: A Comparison of Numerical Methods59 cited
2007Richardson extrapolation techniques for the pricing of American‐style options57 cited

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1997Pricing an American Option by Approximating its Early Exercise Boundary as a Piece-Wise Exponential Function52 cited

2004The compound option approach to American options on jump-diffusions49 cited

1994A Simple Technique for the Valuation and Hedging of American Options47 cited

2012Finite-Element Methods46 cited

2001On the Robustness of Least-Squares Monte Carlo (Lsm) for Pricing American Derivatives44 cited