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Perpetual American Options Under Lévy Processes

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References

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1980Stochastic Storage Processes198 cited

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2004PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES159 cited
2002Barrier options and touch-and-out options under regular Lévy processes of exponential type144 cited
2001Normal Modified Stable Processes128 cited
2005Wavelet Galerkin pricing of American options on Lévy driven assets109 cited
2009Fast and accurate pricing of barrier options under Lévy processes88 cited
2008

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On perpetual American put valuation and first-passage in a regime-switching model with jumps

83 cited

2015Breakdowns77 cited

2009American Options in Regime-Switching Models66 cited

2009PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS63 cited

2005American options: the EPV pricing model62 cited

2009VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES60 cited

2007On American Options Under the Variance Gamma Process58 cited

2003American Options, Multi–armed Bandits, and Optimal Consumption Plans: A Unifying View50 cited

2002On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts46 cited

2013EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS44 cited

2014Real Options and American Derivatives: The Double Continuation Region42 cited