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PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD
16 references·0 citing·19 second hop
PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD (2010)PRICING AND HEDGING AMERICAN OPTIONS ANAL…Theory of rational option pricing (2005)Theory of rational option pri…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Randomization and the American Put (1998)Randomization and the America…Pricing and Hedging American Options: A Recursive Integration Method (1996)Pricing and Hedging American …American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)American Option Valuation: Ne…ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)ALTERNATIVE CHARACTERIZATIONS…Optimal Stopping and the American Put (1991)Optimal Stopping and the Amer…The Analytic Valuation of American Options (1990)The Analytic Valuation of Ame…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…The American Put Option Valued Analytically (1984)The American Put Option Value…The pricing of call and put options on foreign exchange (1983)The pricing of call and put o…Option pricing: A simplified approach (1979)Option pricing: A simplified …The Valuation of American Put Options (1977)The Valuation of American Put…THE VALUATION OF AMERICAN PUT OPTIONS (1977)THE VALUATION OF AMERICAN PUT…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…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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)Stochastic Differential Equations and Applications (1976)Controlled Diffusion Processes (1980)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2001)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)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)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Pricing American-style securities using simulation (1997)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 1984The American Put Option Valued Analytically728 cited
  • 1990The Analytic Valuation of American Options580 cited
  • 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods547 cited
  • 1991Optimal Stopping and the American Put513 cited
  • 1977THE VALUATION OF AMERICAN PUT OPTIONS504 cited
  • 1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS478 cited
  • 1977The Valuation of American Put Options443 cited
  • 1998Randomization and the American Put404 cited
  • 1996Pricing and Hedging American Options: A Recursive Integration Method294 cited
  • 1983The pricing of call and put options on foreign exchange

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