SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Efficient pricing of Bermudan options using recombining quadratures
11 references·0 citing·40 second hop
Efficient pricing of Bermudan options using recombining quadratures (2014)Efficient pricing of Bermudan options usi…Optimal convergence rate of the explicit finite difference scheme for American option valuation (2009)Optimal convergence rate of t…Implementing Models in Quantitative Finance: Methods and Cases (2007)Implementing Models in Quanti…A fast high-order finite difference algorithm for pricing American options (2007)A fast high-order finite diff…Compact finite difference method for American option pricing (2006)Compact finite difference met…Universal option valuation using quadrature methods (2003)Universal option valuation us…Valuing American Put Options Using Gaussian Quadrature (2000)Valuing American Put Options …The American Put Option and Its Critical Stock Price (2000)The American Put Option and I…A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach (1992)A Simple and Numerically Effi…The American Put Option Valued Analytically (1984)The American Put Option Value…Option pricing: A simplified approach (1979)Option pricing: A simplified …Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis (1978)Finite Difference Methods and…The Pricing of Options and Corporate Liabilities (1973)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)The saga of the American put (2005)Pricing American Options under the Constant Elasticity of Variance Model and Subject to Bankruptcy (2009)The Analytic Valuation of American Options (1990)The Mathematics of Financial Derivatives (1995)A Front-Fixing Finite Element Method for the Valuation of American Options (2008)A new radial basis functions method for pricing American options under Merton's jump-diffusion model (2012)Solving American Option Pricing Models by the Front Fixing Method: Numerical Analysis and Computing (2014)Rational Theory of Warrant Pricing (2015)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS (2006)Pricing American options under stochastic volatility and stochastic interest rates (2010)A predictor–corrector scheme based on the ADI method for pricing American puts with stochastic volatility (2011)Options, Futures and Other Derivatives (2003)A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS (2008)“Options, Futures, and Other Derivatives” (2016)A new higher order compact finite difference method for generalised Black–Scholes partial differential equation: European call option (2019)A sixth order numerical method and its convergence for generalized Black–Scholes PDE (2020)The valuation of compound options (1979)Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques (1985)American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)Pricing and Hedging American Options: A Recursive Integration Method (1996)Randomization and the American Put (1998)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Evaluating Natural Resource Investments (1985)Time to build, option value, and investment decisions (1987)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)Pricing discretely monitored Asian options under Lévy processes (2008)A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model (2011)Martingales and stochastic integrals in the theory of continuous trading (1981)Irreversibility, Uncertainty, and Investment (1990)Efficient Analytic Approximation of American Option Values (1987)Theory of Financial Decision Making. (1988)Arbitrage Theory in Continuous Time (1998)A Critical Empirical Study of Three Electricity Spot Price Models (2011)Forecasting with Option-Implied Information (2013)Machine Learning Solutions to Challenges in Finance: An Application to the Pricing of Financial Products (2019)
this work references cited by second hop

References

  • 1979Option pricing: A simplified approach6,103 cited
  • 1984The American Put Option Valued Analytically728 cited
  • 1978Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis413 cited
  • 2003Universal option valuation using quadrature methods147 cited
  • 2007Implementing Models in Quantitative Finance: Methods and Cases137 cited
  • 1992A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach130 cited
  • 2000The American Put Option and Its Critical Stock Price121 cited
  • 2006Compact finite difference method for American option pricing97 cited
  • 2000Valuing American Put Options Using Gaussian Quadrature81 cited
  • 2007A fast high-order finite difference algorithm for pricing American options68 cited
  • 2009Optimal convergence rate of the explicit finite difference scheme for American option valuation29 cited

Cited by

No citing works inside the corpus for this window.

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