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A Pricing Model for American Options with Gaussian Interest Rates
16 references·0 citing·35 second hopsampled
A Pricing Model for American Options with Gaussian Interest Rates (2000)A Pricing Model for American Options with…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …PRICING AND HEDGING AMERICAN OPTIONS: A RECURSIVE INTEGRATION METHOD (1999)PRICING AND HEDGING AMERICAN …The Valuation of American Options with Stochastic Interest Rates: A Generalization of the Geske-Johnson Technique (1997)The Valuation of American Opt…Martingale Methods in Financial Modelling (1997)Martingale Methods in Financi…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Pricing and Hedging American Options: A Recursive Integration Method (1996)Pricing and Hedging American …Discrete-Time Valuation of American Options with Stochastic Interest Rates (1995)Discrete-Time Valuation of Am…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…Numerical Procedures for Implementing Term Structure Models II (1994)Numerical Procedures for Impl…Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models (1994)Numerical Procedures for Impl…CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1 (1994)CONVERGENCE OF AMERICAN OPTIO…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…The Analytic Valuation of American Options (1990)The Analytic Valuation of Ame…Pricing Interest-Rate-Derivative Securities (1990)Pricing Interest-Rate-Derivat…The American Put Option Valued Analytically (1984)The American Put Option Value…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Optimal Stopping and the American Put (1991)American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)An Intertemporal General Equilibrium Model of Asset Prices (1985)A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options (1990)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps (2006)The Determinants of Credit Default Swap Premia (2009)Modelling Extremal Events (1997)Term Structure Dynamics in Theory and Reality (2003)Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach (2003)Stochastic Integration and Differential Equations (2005)Numerical solution of stochastic differential equations (2016)Volatility Is Rough (2018)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Modeling and Forecasting Realized Volatility (2003)Option Pricing With V. G. Martingale Components1 (1991)Randomization and the American Put (1998)Brownian Motion and Stochastic Calculus (2007)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Forecasting the Term Structure of Government Bond Yields (2003)The Cross‐Section of Volatility and Expected Returns (2006)Efficient Analytic Approximation of American Option Values (1987)Theory of Financial Decision Making. (1988)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1990Pricing Interest-Rate-Derivative Securities2,168 cited
  • 1997Martingale Methods in Financial Modelling1,093 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 1984The American Put Option Valued Analytically728 cited
  • 1990The Analytic Valuation of American Options580 cited
  • 1994Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models519 cited
  • 1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS478 cited
  • 1996Pricing and Hedging American Options: A Recursive Integration Method294 cited
  • 1994Numerical Procedures for Implementing Term Structure Models II230 cited
  • 1994CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS1118 cited
  • 1999PRICING AND HEDGING AMERICAN OPTIONS: A RECURSIVE INTEGRATION METHOD86 cited
  • 1995Discrete-Time Valuation of American Options with Stochastic Interest Rates

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81 cited
  • 1997The Valuation of American Options with Stochastic Interest Rates: A Generalization of the Geske-Johnson Technique62 cited
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