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An approximation of American option prices in a jump-diffusion model
10 references·2 citing·41 second hop
An approximation of American option prices in a jump-diffusion model (1996)An approximation of American option price…Stochastic Integration and Differential Equations : A New Approach (2014)Stochastic Integration and Di…Introduction au calcul stochastique appliqué à la finance (1997)Introduction au calcul stocha…Variational inequalities and the pricing of American options (1990)Variational inequalities and …Optimal portfolio for a small investor in a market model with discontinuous prices (1990)Optimal portfolio for a small…Hedging of contingent claims under incomplete information (1990)Hedging of contingent claims …Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques (1985)Valuation by Approximation: A…The valuation of compound options (1979)The valuation of compound opt…The Valuation of Corporate Liabilities as Compound Options (1977)The Valuation of Corporate Li…THE VALUATION OF AMERICAN PUT OPTIONS (1977)THE VALUATION OF AMERICAN PUT…An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options (2017)An Error Analysis of a Finite…Optimal stopping and American options (2009)Optimal stopping and American…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Determinants of corporate borrowing (1977)Option values under stochastic volatility: Theory and empirical estimates (1987)THE GARCH OPTION PRICING MODEL (1995)Arbitrage Theory in Continuous Time (2004)Optimum consumption and portfolio rules in a continuous-time model (1971)Option pricing when underlying stock returns are discontinuous (1976)Stochastic Differential Equations and Diffusion Processes (1983)Numerical Analysis of American Option Pricing in a Jump-Diffusion Model (1997)Insider Trading in a Continuous Time Market Model (1998)Portfolio choice with jumps: A closed-form solution (2009)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Real Options and Interactions with Financial Flexibility (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)Martingales and stochastic integrals in the theory of continuous trading (1981)Foreign currency option values (1983)Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model (1997)Multigrid for American option pricing with stochastic volatility (1999)PDE methods for pricing barrier options (2000)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The American Put Option Valued Analytically (1984)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Martingales and arbitrage in multiperiod securities markets (1979)Option pricing and Esscher transform under regime switching (2005)A Guided Tour through Quadratic Hedging Approaches (2010)Numerical Solution of Stochastic Differential Equations with Jumps in Finance (2010)A P.D.E. approach to Asian options: analytical and numerical evidence (1997)Parameter Estimation for the Square-Root Diffusions: Ergodic and Nonergodic Cases (2012)Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions (2013)Option pricing by Esscher transforms. (1995)Estimating quadratic variation using realized variance (2002)Common Failings: How Corporate Defaults Are Correlated (2007)The Use of the Control Variate Technique in Option Pricing (1988)A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments (1991)Case Studies on Real Options (1993)
this work references cited by second hop

References

  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 1979The valuation of compound options1,107 cited
  • 1977The Valuation of Corporate Liabilities as Compound Options830 cited
  • 1990Hedging of contingent claims under incomplete information736 cited
  • 2014Stochastic Integration and Differential Equations : A New Approach686 cited
  • 1977THE VALUATION OF AMERICAN PUT OPTIONS504 cited
  • 1990Variational inequalities and the pricing of American options424 cited
  • 1985Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques218 cited
  • 1990Optimal portfolio for a small investor in a market model with discontinuous prices140 cited
  • 1997Introduction au calcul stochastique appliqué à la finance90 cited

Cited by

  • 2017An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options21 cited
  • 2009Optimal stopping and American options20 cited

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