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Analytical approximations for the critical stock prices of American options: a performance comparison
16 references·0 citing·19 second hop
Analytical approximations for the critical stock prices of American options: a performance comparison (2009)Analytical approximations for the critica…An exact and explicit solution for the valuation of American put options (2006)An exact and explicit solutio…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 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 …American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)American Option Valuation: Ne…The Pricing of the American Option (1992)The Pricing of the American O…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…Option pricing: A simplified approach (1979)Option pricing: A simplified …On optimal stopping and free boundary problems (1976)On optimal stopping and free …Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…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 Pricing of Options and Corporate Liabilities (1973)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2001)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Option Pricing With V. G. Martingale Components1 (1991)Brownian Motion and Stochastic Calculus (2007)Stochastic Differential Equations and Applications (1976)Controlled Diffusion Processes (1980)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

  • 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
  • 1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS478 cited
  • 1998Randomization and the American Put404 cited
  • 1992The Pricing of the American Option348 cited
  • 1996Pricing and Hedging American Options: A Recursive Integration Method294 cited
  • 1976On optimal stopping and free boundary problems251 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 options

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