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Enhanced Numerical Methods for Options with Barriers
3 references·6 citing·21 second hop
Enhanced Numerical Methods for Options with Barriers (1995)Enhanced Numerical Methods for Options wi…Theory of rational option pricing (2005)Theory of rational option pri…Option pricing: A simplified approach (1979)Option pricing: A simplified …Options: A Monte Carlo approach (1977)Options: A Monte Carlo approa…Advanced Monte Carlo Methods for Barrier and Related Exotic Options (2009)Advanced Monte Carlo Methods …Generalized Cox-Ross-Rubinstein Binomial Models (2007)Generalized Cox-Ross-Rubinste…A Binomial Lattice Method for Pricing Corporate Debt and Modeling Chapter 11 Proceedings (2007)A Binomial Lattice Method for…An efficient binomial method for pricing�American options (2003)An efficient binomial method …CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS (2001)CLOSED FORM VALUATION OF AMER…Model Risk and Its Control (2000)Model Risk and Its ControlEFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of Rational Option Pricing (1973)Brownian Motion and Stochastic Calculus (2007)The Pricing of Options and Corporate Liabilities (1973)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)THE GARCH OPTION PRICING MODEL (1995)Monte Carlo methods for security pricing (1997)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)MANAGING CORPORATE LIQUIDITY: STRATEGIES AND PRICING IMPLICATIONS (2011)Liquidation risk in the presence of Chapters 7 and 11 of the US bankruptcy code (2014)Multinomial Approximating Models for Options with k State Variables (1991)American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)The adaptive mesh model: a new approach to efficient option pricing (1999)Static hedging and pricing American knock-in put options (2012)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
this work references cited by second hop

References

  • 2005Theory of rational option pricing7,161 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1977Options: A Monte Carlo approach1,341 cited

Cited by

  • 2007A Binomial Lattice Method for Pricing Corporate Debt and Modeling Chapter 11 Proceedings58 cited
  • 2009Advanced Monte Carlo Methods for Barrier and Related Exotic Options37 cited
  • 2001CLOSED FORM VALUATION OF AMERICAN BARRIER OPTIONS31 cited
  • 2007Generalized Cox-Ross-Rubinstein Binomial Models26 cited
  • 2000Model Risk and Its Control25 cited
  • 2003An efficient binomial method for pricing�American options25 cited

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