Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

CRITICAL STOCK PRICE NEAR EXPIRATION

11 references·16 citing·33 second hop

FromToDepth

this work references cited by second hop

References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1988Brownian Motion and Stochastic Calculus1,544 cited
1984The American Put Option Valued Analytically728 cited
1990The Analytic Valuation of American Options580 cited
1991Optimal Stopping and the American Put513 cited
1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS478 cited
1990Variational inequalities and the pricing of American options424 cited
1988On the pricing of American options382 cited
1992The Pricing of the American Option348 cited
1989Security Markets: Stochastic Models.275 cited
1977Option Pricing: The American Put209 cited

Cited by

2007A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options126 cited
2002American options on assets with dividends near expiry119 cited
1998Optimal exercise boundary for an American put option117 cited
2010Pricing American options under stochastic volatility and stochastic interest rates93 cited
1999Exercise regions of American options on several assets

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

73 cited

2005The saga of the American put71 cited

2006A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS69 cited

2002On the Early Exercise Boundary of the American Put Option65 cited

1998Error estimates for the binomial approximation of American put options65 cited

2007CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET64 cited

2007On American Options Under the Variance Gamma Process58 cited

2000Nonparametric estimation of American options’ exercise boundaries and call prices57 cited

2015A predictor–corrector approach for pricing American options under the finite moment log-stable model53 cited

2012Finite-Element Methods46 cited

2003Critical price near maturity for an American option on a dividend-paying stock45 cited

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