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Confined exponential approximations for the valuation of American options
16 references·1 citing·34 second hop
Confined exponential approximations for the valuation of American options (2003)Confined exponential approximations for t…An Introduction to the Mathematics of Financial Derivatives (2014)An Introduction to the Mathem…Theory of rational option pricing (2005)Theory of rational option pri…Pricing by American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function (1998)Pricing by American Option by…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Numerical Methods in Finance (1997)Numerical Methods in FinancePricing and Hedging American Options: A Recursive Integration Method (1996)Pricing and Hedging American …American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)American Option Valuation: Ne…Numerical solution of SDE through computer experiments (1994)Numerical solution of SDE thr…Advances in Futures and Options Research (1994)Advances in Futures and Optio…A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach (1992)A Simple and Numerically Effi…Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Stochastic Convenience Yield …Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…The American Put Option Valued Analytically (1984)The American Put Option Value…The valuation of compound options (1979)The valuation of compound opt…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…A fuzzy approach for R&D compound option valuation (2016)A fuzzy approach for R&D comp…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)Option pricing: A simplified approach (1979)Monte Carlo methods for security pricing (1997)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Determinants of corporate borrowing (1977)The Pricing of Options on Assets with Stochastic Volatilities (1987)Irreversibility, Uncertainty, and Investment (1990)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 Theory of the Term Structure of Interest Rates (1985)Evaluating Natural Resource Investments (1985)An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)Financialization of Commodity Markets (2013)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)An equilibrium characterization of the term structure (1977)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Empirical Performance of Alternative Option Pricing Models (1997)Post-'87 crash fears in the S&P 500 futures option market (2000)On solving elliptic stochastic partial differential equations (2002)Equivalent linearization and Monte Carlo simulation in stochastic dynamics (2003)Construction of Equivalent Stochastic Differential Equation Models (2008)Theory of Financial Decision Making. (1988)Arbitrage Theory in Continuous Time (1998)
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
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 1979The valuation of compound options1,107 cited
  • 1990Stochastic Convenience Yield and the Pricing of Oil Contingent Claims1,058 cited
  • 1984The American Put Option Valued Analytically728 cited
  • 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods547 cited
  • 1994Numerical solution of SDE through computer experiments426 cited
  • 2014An Introduction to the Mathematics of Financial Derivatives328 cited
  • 1996Pricing and Hedging American Options: A Recursive Integration Method294 cited
  • 1994Advances in Futures and Options Research287 cited
  • 1998Pricing by American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function241 cited
  • 1997Numerical Methods in Finance206 cited

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1992
A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach
130 cited

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  • 2016A fuzzy approach for R&D compound option valuation16 cited