SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
16 references·1 citing·34 second hop
American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach (2014)American Option Sensitivities Estimation …“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …Options, futures and other derivatives (2008)Options, futures and other de…Stochastic Simulation (2007)Stochastic SimulationPrimal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Primal-Dual Simulation Algori…Pricing American Options: A Duality Approach (2004)Pricing American Options: A D…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Monte Carlo valuation of American options (2002)Monte Carlo valuation of Amer…Foundations of Stochastic Inventory Theory (2002)Foundations of Stochastic Inv…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Regression methods for pricing complex American-style options (2001)Regression methods for pricin…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…Estimating Security Price Derivatives Using Simulation (1996)Estimating Security Price Der…Gradient Estimation via Perturbation Analysis (1991)Gradient Estimation via Pertu…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Structural changes and out-of-sample prediction of realized range-based variance in the stock market (2017)Structural changes and out-of…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Theory of Rational Option Pricing (1973)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Behavior of Stock-Market Prices (1965)Time-changed Lévy processes and option pricing (2003)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Perspectives in supply chain risk management (2006)Bounded Rationality in Newsvendor Models (2008)Sharing Demand Information in Competing Supply Chains with Production Diseconomies (2011)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Optimization for Simulation: Theory vs. Practice (2002)Proceedings of the 2002 Winter Simulation Conference (2002)Simulation optimization: a review of algorithms and applications (2015)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Risk-Neutral Pricing Approach for Evaluating BOT Highway Projects with Government Minimum Revenue Guarantee Options (2011)PAMR: Passive aggressive mean reversion strategy for portfolio selection (2012)Financial distress, outside directors and corporate tax aggressiveness spanning the global financial crisis: An empirical analysis (2014)A Guide to Sample Average Approximation (2014)A unified framework for stochastic optimization (2018)
this work references cited by second hop

References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 2007Stochastic Simulation1,121 cited
  • 2002Foundations of Stochastic Inventory Theory716 cited
  • 1991Gradient Estimation via Perturbation Analysis707 cited
  • 2008Options, futures and other derivatives646 cited
  • 2001Regression methods for pricing complex American-style options612 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 2004Pricing American Options: A Duality Approach452 cited
  • 1996Estimating Security Price Derivatives Using Simulation449 cited
  • 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

420 cited

Cited by

  • 2017Structural changes and out-of-sample prediction of realized range-based variance in the stock market20 cited