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Analytical Upper Bounds for American Option Prices
16 references·0 citing·36 second hopsampled
Analytical Upper Bounds for American Option Prices (2002)Analytical Upper Bounds for American Opti…The Valuation of American Options on Multiple Assets (1997)The Valuation of American Opt…Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods (1997)Pricing Stock Options in a Ju…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)American Option Valuation: Ne…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)ALTERNATIVE CHARACTERIZATIONS…An Exact Bond Option Formula (1989)An Exact Bond Option FormulaThe Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Options on the Maximum or the Minimum of Several Assets (1987)Options on the Maximum or the…Option values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…Option Pricing when the Variance is Changing (1987)Option Pricing when the Varia…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…An Analytic Approximation for the American Put Price (1983)An Analytic Approximation for…Options on the minimum or the maximum of two risky assets (1982)Options on the minimum or the…The relation between forward prices and futures prices (1981)The relation between forward …An equilibrium characterization of the term structure (1977)An equilibrium characterizati…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Determinants of corporate borrowing (1977)A Lattice Framework for Option Pricing with Two State Variables (1988)The Nature of Option Interactions and the Valuation of Investments with Multiple Real Options (1993)Non‐additivity in portfolios of exploration activities: a real options‐based analysis of equity alliances in biotechnology (2004)Option pricing: A simplified approach (1979)Efficient Analytic Approximation of American Option Values (1987)Randomization and the American Put (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2001)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)An Intertemporal Capital Asset Pricing Model (1973)Martingales and arbitrage in multiperiod securities markets (1979)A Theory of the Term Structure of Interest Rates (1985)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)The Analytic Valuation of American Options (1990)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)The Behavior of Stock-Market Prices (1965)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Chapter 49 Arch models (1994)Monte Carlo methods for security pricing (1997)Theory of Rational Option Pricing (1973)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Bond and Option Pricing when Short Rates are Lognormal (1991)Option pricing by Esscher transforms. (1995)Transform Analysis and Asset Pricing for Affine Jump-Diffusions (1999)Theory of rational option pricing (2005)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Option Prices, Implied Price Processes, and Stochastic Volatility (2000)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1977An equilibrium characterization of the term structure6,104 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • 1981The relation between forward prices and futures prices740 cited
  • 1989An Exact Bond Option Formula731 cited
  • 1982Options on the minimum or the maximum of two risky assets553 cited
  • 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods547 cited
  • 1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS478 cited
  • 1987Options on the Maximum or the Minimum of Several Assets405 cited
  • 1997Pricing Stock Options in a Jump‐Diffusion Model with Stochastic Volatility and Interest Rates: Applications of Fourier Inversion Methods389 cited
  • 1987Option Pricing when the Variance is Changing377 cited
  • 1997

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The Valuation of American Options on Multiple Assets
185 cited
  • 1983An Analytic Approximation for the American Put Price180 cited
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