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The Valuation of American Put Options
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The Valuation of American Put Options (1977)The Valuation of American Put OptionsEfficient numerical methods for pricing American options under stochastic volatility (2007)Efficient numerical methods f…An exact and explicit solution for the valuation of American put options (2006)An exact and explicit solutio…Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Primal-Dual Simulation Algori…Operator splitting methods for American option pricing (2004)Operator splitting methods fo…Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier (2004)Monte Carlo Valuation of Amer…ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)ANNIVERSARY ARTICLE: Option P…Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Continuous‐Time Methods in Fi…The adaptive mesh model: a new approach to efficient option pricing (1999)The adaptive mesh model: a ne…Randomization and the American Put (1998)Randomization and the America…Market volatility prediction and the efficiency of the S & P 100 index option market (1992)Market volatility prediction …Option Pricing With V. G. Martingale Components1 (1991)Option Pricing With V. G. Mar…Variational inequalities and the pricing of American options (1990)Variational inequalities and …Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt (1989)Valuing Commercial Mortgages:…Valuation of American Futures Options: Theory and Empirical Tests (1986)Valuation of American Futures…Option Prices as Predictors of Equilibrium Stock Prices (1982)Option Prices as Predictors o…Standard deviations implied in option prices as predictors of future stock price variability (1981)Standard deviations implied i…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)20 Testing option pricing models (1995)Volatility Information Trading in the Option Market (2008)The Joint Cross Section of Stocks and Options (2014)Theory of Rational Option Pricing (1973)Anticipated information releases reflected in call option prices (1979)The Generalized Hyperbolic Model: Estimation, Financial Derivatives, and Risk Measures (1999)Theory of rational option pricing (2005)Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models (2008)Martingales and stochastic integrals in the theory of continuous trading (1981)Foreign currency option values (1983)Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model (1997)Multigrid for American option pricing with stochastic volatility (1999)PDE methods for pricing barrier options (2000)The Behavior of Stock-Market Prices (1965)Option pricing when underlying stock returns are discontinuous (1976)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)The cumulant process and Esscher's change of measure (2002)Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes (2004)Options: A Monte Carlo approach (1977)Option pricing: A simplified approach (1979)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)A stochastic mesh method for pricing high-dimensional American options (2004)Information Relaxations and Duality in Stochastic Dynamic Programs (2010)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Pricing Mortgage Default and Foreclosure Delay (1997)Modeling the Conditional Probability of Foreclosure in the Context of Single‐Family Mortgage Default Resolutions (1998)Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options (1999)Pricing American options under stochastic volatility and stochastic interest rates (2010)Analytically pricing double barrier options based on a time-fractional Black–Scholes equation (2015)A unified approach to Bermudan and barrier options under stochastic volatility models with jumps (2017)High frequency data in financial markets: Issues and applications (1997)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)The option to stock volume ratio and future returns (2012)Universal option valuation using quadrature methods (2003)Option pricing with regime switching by trinomial tree method (2009)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Pricing and Hedging Path-Dependent Options Under the CEV Process (2001)Russian and American put options under exponential phase-type Lévy models (2003)
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  • 1990Variational inequalities and the pricing of American options424 cited
  • 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
  • 1982Option Prices as Predictors of Equilibrium Stock Prices415 cited
  • 1991Option Pricing With V. G. Martingale Components1411 cited
  • 1998Randomization and the American Put404 cited
  • 1981Standard deviations implied in option prices as predictors of future stock price variability371 cited
  • 1992Market volatility prediction and the efficiency of the S & P 100 index option market297 cited
  • 1989Valuing Commercial Mortgages: An Empirical Investigation of the Contingent‐Claims Approach to Pricing Risky Debt247 cited
  • 2006An exact and explicit solution for the valuation of American put options236 cited
  • 1999The adaptive mesh model: a new approach to efficient option pricing222 cited
  • 2000Continuous‐Time Methods in Finance: A Review and an Assessment199 cited
  • 2004Operator splitting methods for American option pricing192 cited
  • 2004ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications183 cited
  • 1986Valuation of American Futures Options: Theory and Empirical Tests

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175 cited
  • 2007Efficient numerical methods for pricing American options under stochastic volatility157 cited
  • 2004Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier143 cited