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OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY
16 references·0 citing·36 second hop
OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY (2010)OPTIMAL REDEEMING STRATEGY OF STOCK LOANS…“Options, Futures, and Other Derivatives” (2016)“Options, Futures, and Other …OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008)OPTIMAL MULTIPLE STOPPING AND…Mathematical Modeling and Methods of Option Pricing (2005)Mathematical Modeling and Met…Options, Futures and Other Derivatives (2003)Options, Futures and Other De…Monte Carlo methods for the valuation of multiple exercise options (2003)Monte Carlo methods for the v…Quadratic Convergence for Valuing American Options Using a Penalty Method (2002)Quadratic Convergence for Val…Game options (2000)Game optionsPRICING AND HEDGING AMERICAN OPTIONS: A RECURSIVE INTEGRATION METHOD (1999)PRICING AND HEDGING AMERICAN …Exercise regions of American options on several assets (1999)Exercise regions of American …Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…The Valuation of American Options on Multiple Assets (1997)The Valuation of American Opt…PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS (1996)PRICING OF AMERICAN PATH‐DEPE…Pricing and Hedging American Options: A Recursive Integration Method (1996)Pricing and Hedging American …MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS (1996)MARTINGALE APPROACH TO PRICIN…Option pricing: Mathematical models and computation (1994)Option pricing: Mathematical …Pricing and hedging derivative securities in markets with uncertain volatilities (1995)A penalty method for American options with jump diffusion processes (2004)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)GUARANTEED MINIMUM WITHDRAWAL BENEFIT IN VARIABLE ANNUITIES (2008)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Modelling spikes and pricing swing options in electricity markets (2009)Dual pricing of multi-exercise options under volume constraints (2010)Introduction to Stochastic Calculus Applied to Finance (2011)A Survey of Commodity Markets and Structural Models for Electricity Prices (2013)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Pricing by American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function (1998)On the Rate of Convergence of Discrete‐Time Contingent Claims (2000)Theory of rational option pricing (2005)An exact and explicit solution for the valuation of American put options (2006)An Engine, Not a Camera (2006)Facts and Fantasies about Commodity Futures (2006)Introductory Econometrics for Finance (2008)Arbitrage Theory in Continuous Time (1998)A critical review on supply chain risk – Definition, measure and modeling (2014)Far Field Boundary Conditions for Black--Scholes Equations (2000)PDE methods for pricing barrier options (2000)A Real Options Approach to the Valuation of a Forestry Investment (2002)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Valuing vulnerable geometric Asian options (2016)European quanto option pricing in presence of liquidity risk (2018)A sixth order numerical method and its convergence for generalized Black–Scholes PDE (2020)Mixed Zero-Sum Stochastic Differential Game and American Game Options (2006)Optimal Stopping Games for Markov Processes (2008)The Continuous Time Nonzero-Sum Dynkin Game Problem and Application in Game Options (2010)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
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References

  • 2016“Options, Futures, and Other Derivatives”5,007 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1998Methods of Mathematical Finance888 cited
  • 1994Option pricing: Mathematical models and computation805 cited
  • 2002Quadratic Convergence for Valuing American Options Using a Penalty Method327 cited
  • 1996Pricing and Hedging American Options: A Recursive Integration Method294 cited
  • 2000Game options204 cited
  • 2005Mathematical Modeling and Methods of Option Pricing196 cited
  • 2008OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS191 cited
  • 1997The Valuation of American Options on Multiple Assets185 cited
  • 1996PRICING OF AMERICAN PATH‐DEPENDENT CONTINGENT CLAIMS173 cited
  • 2003Monte Carlo methods for the valuation of multiple exercise options141 cited
  • 1999PRICING AND HEDGING AMERICAN OPTIONS: A RECURSIVE INTEGRATION METHOD86 cited
  • 1996MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS77 cited
  • 1999Exercise regions of American options on several assets

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