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Critical price near maturity for an American option on a dividend-paying stock
11 references·7 citing·37 second hop
Critical price near maturity for an American option on a dividend-paying stock (2003)Critical price near maturity for an Ameri…American options on assets with dividends near expiry (2002)American options on assets wi…Exercise regions of American options on several assets (1999)Exercise regions of American …Portfolio management with transaction costs (1997)Portfolio management with tra…Handbook of Brownian Motion — Facts and Formulae (1996)Handbook of Brownian Motion —…CRITICAL STOCK PRICE NEAR EXPIRATION (1995)CRITICAL STOCK PRICE NEAR EXP…Option pricing: Mathematical models and computation (1994)Option pricing: Mathematical …The Pricing of the American Option (1992)The Pricing of the American O…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…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesOn optimal stopping and free boundary problems (1976)On optimal stopping and free …On Lipschitz Continuous Optimal Stopping Boundaries (2019)On Lipschitz Continuous Optim…Real Options and American Derivatives: The Double Continuation Region (2014)Real Options and American Der…The Sensitivity of American Options to Suboptimal Exercise Strategies (2010)The Sensitivity of American O…Optimal stopping and American options (2009)Optimal stopping and American…Regularity of the free boundary of an American option on several assets (2008)Regularity of the free bounda…American and European options in multi-factor jump-diffusion models, near expiry (2008)American and European options…CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL (2005)CRITICAL PRICE NEAR MATURITY …The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Optimal Stopping and the American Put (1991)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)Theory of rational option pricing (2005)Robustness of the Black and Scholes Formula (1998)Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives (1999)A stochastic mesh method for pricing high-dimensional American options (2004)Brownian Motion and Stochastic Calculus (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)Theory of Financial Decision Making. (1988)Continuous-Time Finance. (1991)Portfolio adjusting optimization with added assets and transaction costs based on credibility measures (2011)Expected value multiobjective portfolio rebalancing model with fuzzy parameters (2012)Mean-reversion and optimization (2014)The American Put Option Valued Analytically (1984)Brownian Motion and Stochastic Calculus (1988)Optimal exercise boundary for an American put option (1998)A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options (2007)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Far Field Boundary Conditions for Black--Scholes Equations (2000)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices (2000)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)Fluctuations of Lévy Processes with Applications (2014)Numerical Valuation of High Dimensional Multivariate American Securities (1995)Multigrid for American option pricing with stochastic volatility (1999)ON THE AMERICAN OPTION PROBLEM (2005)A Front-Fixing Finite Element Method for the Valuation of American Options (2008)Pricing American options under stochastic volatility and stochastic interest rates (2010)A predictor–corrector scheme based on the ADI method for pricing American puts with stochastic volatility (2011)Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems (1984)Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model (1997)
this work references cited by second hop

References

  • 1996Handbook of Brownian Motion — Facts and Formulae1,391 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1994Option pricing: Mathematical models and computation805 cited
  • 1990The Analytic Valuation of American Options580 cited
  • 1988On the pricing of American options382 cited
  • 1992The Pricing of the American Option348 cited
  • 1976On optimal stopping and free boundary problems251 cited
  • 1995CRITICAL STOCK PRICE NEAR EXPIRATION137 cited
  • 2002American options on assets with dividends near expiry119 cited
  • 1997Portfolio management with transaction costs76 cited
  • 1999Exercise regions of American options on several assets73 cited

Cited by

  • 2014Real Options and American Derivatives: The Double Continuation Region42 cited
  • 2008Regularity of the free boundary of an American option on several assets41 cited
  • 2005CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL25 cited
  • 2008American and European options in multi-factor jump-diffusion models, near expiry23 cited
  • 2019

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On Lipschitz Continuous Optimal Stopping Boundaries
20 cited
  • 2009Optimal stopping and American options20 cited
  • 2010The Sensitivity of American Options to Suboptimal Exercise Strategies20 cited