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A Componentwise Splitting Method for Pricing American Options Under the Bates Model
16 references·0 citing·31 second hop
A Componentwise Splitting Method for Pricing American Options Under the Bates Model (2009)A Componentwise Splitting Method for Pric…Pricing Options in Jump-Diffusion Models: An Extrapolation Approach (2007)Pricing Options in Jump-Diffu…Computational Methods for Option Pricing (2005)Computational Methods for Opt…A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)A Finite Difference Scheme fo…Robust numerical methods for contingent claims under jump diffusion processes (2004)Robust numerical methods for …A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Pricing Financial Instruments: The Finite Difference Method (2000)Pricing Financial Instruments…Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing (2000)Jump-Diffusion Processes: Vol…Multigrid for American option pricing with stochastic volatility (1999)Multigrid for American option…Penalty methods for American options with stochastic volatility (1998)Penalty methods for American …Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Valuation of American Put Options (1977)The Valuation of American Put…THE VALUATION OF AMERICAN PUT OPTIONS (1977)THE VALUATION OF AMERICAN PUT…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)The Cross‐Section of Volatility and Expected Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Theory of rational option pricing (2005)THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)Variational inequalities and the pricing of American options (1990)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)The Behavior of Stock-Market Prices (1965)Time-changed Lévy processes and option pricing (2003)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Brownian Motion and Stochastic Calculus (2007)A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes (2008)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)Option Prices as Predictors of Equilibrium Stock Prices (1982)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 1977THE VALUATION OF AMERICAN PUT OPTIONS504 cited
  • 2000Pricing Financial Instruments: The Finite Difference Method478 cited
  • 2000Jump-Diffusion Processes: Volatility Smile Fitting and Numerical Methods for Option Pricing460 cited
  • 1977The Valuation of American Put Options443 cited
  • 2005A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models438 cited
  • 2005Computational Methods for Option Pricing376 cited
  • 1998Penalty methods for American options with stochastic volatility290 cited
  • 2004Robust numerical methods for contingent claims under jump diffusion processes261 cited
  • 1999Multigrid for American option pricing with stochastic volatility

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208 cited
  • 2007Pricing Options in Jump-Diffusion Models: An Extrapolation Approach168 cited
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