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Approximations for the values of american options
3 references·16 citing·39 second hopsampled
Approximations for the values of american options (1991)Approximations for the values of american…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Stochastic Differential Equations (2019)Stochastic Differential Equat…High-performance American option pricing (2016)High-performance American opt…Option valuation under a regime-switching constant elasticity of variance process (2012)Option valuation under a regi…American option prices in a Markov chain market model (2011)American option prices in a M…Parametrix Approximation of Diffusion Transition Densities (2010)Parametrix Approximation of D…Analytical approximations for the critical stock prices of American options: a performance comparison (2009)Analytical approximations for…CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET (2007)CONVEXITY OF THE EXERCISE BOU…A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options (2007)A Mathematical Analysis of th…Compact finite difference method for American option pricing (2006)Compact finite difference met…A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS (2006)A NEW ANALYTICAL APPROXIMATIO…The saga of the American put (2005)The saga of the American putLaplace transforms and American options (2000)Laplace transforms and Americ…Optimal exercise boundary for an American put option (1998)Optimal exercise boundary for…Differential Equations (1998)Differential EquationsNumerical Valuation of High Dimensional Multivariate European Securities (1995)Numerical Valuation of High D…Numerical evaluation of the critical price and American options (1995)Numerical evaluation of the c…Options, Futures, and Other Derivative Securities. (1990)Continuous-Time Finance. (1991)A closed-form solution to American options under general diffusion processes (2010)Analytical and Numerical Methods for Pricing Financial Derivatives (2011)A Note on the Continuity of Free-Boundaries in Finite-Horizon Optimal Stopping Problems for One-Dimensional Diffusions (2015)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA (2007)A new exact solution for pricing European options in a two-state regime-switching economy (2012)Option pricing: A simplified approach (1979)Options, Futures and Other Derivatives (2003)A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS (2008)“Options, Futures, and Other Derivatives” (2016)A new higher order compact finite difference method for generalised Black–Scholes partial differential equation: European call option (2019)A sixth order numerical method and its convergence for generalized Black–Scholes PDE (2020)On optimal stopping and free boundary problems (1976)The Analytic Valuation of American Options (1990)Option pricing: Mathematical models and computation (1994)On the Early Exercise Boundary of the American Put Option (2002)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)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Lookback options with discrete and partial monitoring of the underlying price (1995)A Dynamic Programming Procedure for Pricing American-Style Asian Options (2002)Brownian Motion and Stochastic Calculus (2007)Multivariate option pricing with time varying volatility and correlations (2011)American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach (2008)Pricing American Options under the Constant Elasticity of Variance Model and Subject to Bankruptcy (2009)A simple iterative method for the valuation of American options (2012)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)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)A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options (2007)Pricing American options under stochastic volatility and stochastic interest rates (2010)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited

Cited by

  • 2007A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options126 cited
  • 1998Optimal exercise boundary for an American put option117 cited
  • 2006Compact finite difference method for American option pricing97 cited
  • 1995Numerical Valuation of High Dimensional Multivariate European Securities73 cited
  • 2005The saga of the American put71 cited
  • 2006A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS69 cited
  • 2007CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET64 cited
  • 2010Parametrix Approximation of Diffusion Transition Densities48 cited
  • 2000Laplace transforms and American options32 cited
  • 2016High-performance American option pricing29 cited
  • 1995Numerical evaluation of the critical price and American options28 cited
  • 2011American option prices in a Markov chain market model

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24 cited
  • 2019Stochastic Differential Equations23 cited
  • 2012Option valuation under a regime-switching constant elasticity of variance process21 cited
  • 1998Differential Equations21 cited
  • 2009Analytical approximations for the critical stock prices of American options: a performance comparison20 cited