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An efficient finite element method for pricing American multi-asset put options
14 references·0 citing·37 second hop
An efficient finite element method for pricing American multi-asset put options (2015)An efficient finite element method for pr…A lattice method for option pricing with two underlying assets in the regime-switching model (2013)A lattice method for option p…The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost (2012)The numerical approximation o…Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models (2012)Comparison and survey of fini…Introduction to Stochastic Calculus Applied to Finance (2011)Introduction to Stochastic Ca…A Front-Fixing Finite Element Method for the Valuation of American Options (2008)A Front-Fixing Finite Element…Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty (2007)Pricing Multi-Asset American …Penalty methods for the numerical solution of American multi-asset option problems (2007)Penalty methods for the numer…Optimal stopping and free-boundary problems (2006)Optimal stopping and free-bou…A Fast Numerical Method for the Black--Scholes Equation of American Options (2003)A Fast Numerical Method for t…Option Pricing in a Multi-Asset, Complete Market Economy (2002)Option Pricing in a Multi-Ass…Penalty methods for American options with stochastic volatility (1998)Penalty methods for American …Implied Binomial Trees (1994)Implied Binomial TreesOn the theory of option pricing (1984)On the theory of option prici…Option pricing: A simplified approach (1979)Option pricing: A simplified …The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Optimization Problems in the Theory of Continuous Trading (1989)A generalized clark representation formula, with application to optimal portfolios (1991)Optional decompositions under constraints (1997)Theory of rational option pricing (2005)Dynamic Asset Pricing Theory. (1993)Option pricing: Mathematical models and computation (1994)Pricing American options using a space-time adaptive finite difference method (2010)Finite-Element Methods (2012)Radial basis function partition of unity operator splitting method for pricing multi-asset American options (2016)Options, Futures and Other Derivatives (2003)Stochastic differential equations and applications (2008)Real Options and American Derivatives: The Double Continuation Region (2014)“Options, Futures, and Other Derivatives” (2016)Improved numerical solution of multi-asset option pricing problem: A localized RBF-FD approach (2019)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)A penalty method for American options with jump diffusion processes (2004)The valuation of options for alternative stochastic processes (1976)Post-'87 crash fears in the S&P 500 futures option market (2000)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Engine, Not a Camera (2006)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Fluctuations of Lévy Processes with Applications (2014)A fast high-order finite difference algorithm for pricing American options (2007)Numerical pricing of options using high-order compact finite difference schemes (2007)A Numerical Analysis of American Options with Regime Switching (2010)A front-fixing finite element method for the valuation of American options with regime switching (2012)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Optimality results for dividend problems in insurance (2009)Waiting for News in the Market for Lemons (2012)Sorting through Search and Matching Models in Economics (2017)
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References

  • 1979Option pricing: A simplified approach6,103 cited
  • 1994Implied Binomial Trees1,749 cited
  • 2006Optimal stopping and free-boundary problems1,068 cited
  • 2011Introduction to Stochastic Calculus Applied to Finance639 cited
  • 1998Penalty methods for American options with stochastic volatility290 cited
  • 1984On the theory of option pricing288 cited
  • 2003A Fast Numerical Method for the Black--Scholes Equation of American Options124 cited
  • 2007Penalty methods for the numerical solution of American multi-asset option problems84 cited
  • 2007Pricing Multi-Asset American Options: A Finite Element Method-of-Lines with Smooth Penalty69 cited
  • 2008A Front-Fixing Finite Element Method for the Valuation of American Options56 cited
  • 2012The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost45 cited
  • 2002Option Pricing in a Multi-Asset, Complete Market Economy30 cited
  • 2013A lattice method for option pricing with two underlying assets in the regime-switching model26 cited
  • 2012Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models23 cited

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