SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The adaptive mesh model: a new approach to efficient option pricing
10 references·16 citing·31 second hop
The adaptive mesh model: a new approach to efficient option pricing (1999)The adaptive mesh model: a new approach t…Theory of rational option pricing (2005)Theory of rational option pri…American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)American Option Valuation: Ne…The Informational Content of Implied Volatility (1993)The Informational Content of …Valuing Derivative Securities Using the Explicit Finite Difference Method (1990)Valuing Derivative Securities…The American Put Option Valued Analytically (1984)The American Put Option Value…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…A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions (2013)A flexible tree for evaluatin…Finite-Element Methods (2012)Finite-Element MethodsCONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (2011)CONTINUOUSLY MONITORED BARRIE…The Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing (2010)The Bino-Trinomial Tree: A Si…The Normal Inverse Gaussian Distribution and the Pricing of Derivatives (2009)The Normal Inverse Gaussian D…Option pricing with regime switching by trinomial tree method (2009)Option pricing with regime sw…Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models (2009)Adding and Subtracting Black-…Space–time adaptive finite difference method for European multi-asset options (2007)Space–time adaptive finite di…A Synthesis of Binomial Option Pricing Models for Lognormally Distributed Assets (2007)A Synthesis of Binomial Optio…Extending quadrature methods to value multi-asset and complex path dependent options (2006)Extending quadrature methods …Analysis of quadrature methods for pricing discrete barrier options (2006)Analysis of quadrature method…Universal option valuation using quadrature methods (2003)Universal option valuation us…Stock index futures markets: stochastic volatility models and smiles (2000)Stock index futures markets: …PDE methods for pricing barrier options (2000)PDE methods for pricing barri…Pricing Discrete Barrier Options with an Adaptive Mesh Model (1999)Pricing Discrete Barrier Opti…An Approximate Formula for Pricing American Options (1999)An Approximate Formula for Pr…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)Efficient Analytic Approximation of American Option Values (1987)Randomization and the American Put (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2001)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Applied Economic Forecasting (1967)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)Predicting Volatility in the Foreign Exchange Market (1995)Expected Option Returns (2001)Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)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)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)The impact of default risk on the prices of options and other derivative securities (1995)Valuing Options in Regime-Switching Models (1998)Valuing American Options in a Path Simulation Model (2002)THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)Variational inequalities and the pricing of American options (1990)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)Real Options and Interactions with Financial Flexibility (1993)Pricing American-style securities using simulation (1997)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Option Prices as Predictors of Equilibrium Stock Prices (1982)
this work references cited by second hop

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
  • 1993The Informational Content of Implied Volatility761 cited
  • 1984The American Put Option Valued Analytically728 cited
  • 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods547 cited
  • 1977THE VALUATION OF AMERICAN PUT OPTIONS504 cited
  • 1977The Valuation of American Put Options443 cited
  • 1990Valuing Derivative Securities Using the Explicit Finite Difference Method335 cited

Cited by

  • 2000PDE methods for pricing barrier options195 cited
  • 2003Universal option valuation using quadrature methods147 cited
  • 2009Option pricing with regime switching by trinomial tree method118 cited
  • 1999An Approximate Formula for Pricing American Options93 cited
  • 2011CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES91 cited
  • 2009The Normal Inverse Gaussian Distribution and the Pricing of Derivatives

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

88 cited
  • 2007Space–time adaptive finite difference method for European multi-asset options77 cited
  • 2006Analysis of quadrature methods for pricing discrete barrier options61 cited
  • 2010The Bino-Trinomial Tree: A Simple Model for Efficient and Accurate Option Pricing58 cited
  • 2009Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models58 cited
  • 1999Pricing Discrete Barrier Options with an Adaptive Mesh Model56 cited
  • 2006Extending quadrature methods to value multi-asset and complex path dependent options51 cited
  • 2012Finite-Element Methods46 cited
  • 2000Stock index futures markets: stochastic volatility models and smiles43 cited
  • 2013A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions41 cited
  • 2007A Synthesis of Binomial Option Pricing Models for Lognormally Distributed Assets41 cited