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Pricing and Exercising American Options: an Asymptotic Expansion Approach · Study

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ArticlePricing and Exercising American Options: an Asymptotic Expansion Approach

Chenxu Li2019

Article2019

Pricing and Exercising American Options: an Asymptotic Expansion Approach

17 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1979Option pricing: A simplified approach 1976Option pricing when underlying stock returns are discontinuous 2001Valuing American Options by Simulation: A Simple Least-Squares Approach 1976The valuation of options for alternative stochastic processes

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Year2019

Typearticle

Published2019-08-16

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations17

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jedc.2019.103729

openalex_workW2968537605

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