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THE VALUATION OF AMERICAN PUT OPTIONS
5 references·16 citing·30 second hop
THE VALUATION OF AMERICAN PUT OPTIONS (1977)THE VALUATION OF AMERICAN PUT OPTIONSSTANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …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…The Valuation of Option Contracts and a Test of Market Efficiency (1972)The Valuation of Option Contr…THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)THE VALUATION OF OPTION CONTR…An exact and explicit solution for the valuation of American put options (2006)An exact and explicit solutio…Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Primal-Dual Simulation Algori…The adaptive mesh model: a new approach to efficient option pricing (1999)The adaptive mesh model: a ne…Randomization and the American Put (1998)Randomization and the America…Pricing by American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function (1998)Pricing by American Option by…Pricing and Hedging American Options: A Recursive Integration Method (1996)Pricing and Hedging American …Market volatility prediction and the efficiency of the S & P 100 index option market (1992)Market volatility prediction …ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)ALTERNATIVE CHARACTERIZATIONS…Option Pricing With V. G. Martingale Components1 (1991)Option Pricing With V. G. Mar…Multinomial Approximating Models for Options with k State Variables (1991)Multinomial Approximating Mod…Variational inequalities and the pricing of American options (1990)Variational inequalities and …Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt (1989)Valuing Commercial Mortgages:…Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques (1985)Valuation by Approximation: A…Option Prices as Predictors of Equilibrium Stock Prices (1982)Option Prices as Predictors o…Standard deviations implied in option prices as predictors of future stock price variability (1981)Standard deviations implied i…Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)Finite Difference Methods and…Stock Returns and Volatility (1990)Risk and Volatility: Econometric Models and Financial Practice (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)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 Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Options: A Monte Carlo approach (1977)Option pricing: A simplified approach (1979)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A stochastic mesh method for pricing high-dimensional American options (2004)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Information Relaxations and Duality in Stochastic Dynamic Programs (2010)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Does Default Risk in Coupons Affect the Valuation of Corporate Bonds?: A Contingent Claims Model (1993)Rational Prepayment and the Valuation of Mortgage-Backed Securities (1995)Brownian Motion and Stochastic Calculus (2007)High frequency data in financial markets: Issues and applications (1997)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)The option to stock volume ratio and future returns (2012)Stock market volatility and the information content of stock index options (1992)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)A contingent-claims valuation of convertible securities (1977)The information content of option prices and a test of market efficiency (1978)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY718 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES642 cited
  • 1972The Valuation of Option Contracts and a Test of Market Efficiency612 cited

Cited by

  • 1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS478 cited
  • 1990Variational inequalities and the pricing of American options424 cited
  • 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
  • 1982Option Prices as Predictors of Equilibrium Stock Prices415 cited
  • 1978Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis413 cited
  • 1991Option Pricing With V. G. Martingale Components1411 cited
  • 1998Randomization and the American Put404 cited
  • 1981Standard deviations implied in option prices as predictors of future stock price variability371 cited
  • 1992Market volatility prediction and the efficiency of the S & P 100 index option market297 cited
  • 1996Pricing and Hedging American Options: A Recursive Integration Method

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294 cited
  • 1991Multinomial Approximating Models for Options with k State Variables283 cited
  • 1989Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt247 cited
  • 1998Pricing by American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function241 cited
  • 2006An exact and explicit solution for the valuation of American put options236 cited
  • 1999The adaptive mesh model: a new approach to efficient option pricing222 cited
  • 1985Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques218 cited