SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? (Q3225029): Difference between revisions

@@ Property / author @@
+Song-Ping Zhu
@@ Property / author: Song-Ping Zhu / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+A Simple Proof of Rolle's Theorem for Finite Fields
+Normal rank
@@ Property / cites work @@
+Perpetual American Options Under Lévy Processes
@@ Property / cites work: Perpetual American Options Under Lévy Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Randomization and the American Put
@@ Property / cites work: Randomization and the American Put / rank @@
+Normal rank
@@ Property / cites work @@
+Two singular diffusion problems
@@ Property / cites work: Two singular diffusion problems / rank @@
+Normal rank
@@ Property / cites work @@
+MEAN-REVERTING STOCHASTIC VOLATILITY
@@ Property / cites work: MEAN-REVERTING STOCHASTIC VOLATILITY / rank @@
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+Multiscale Stochastic Volatility Asymptotics
@@ Property / cites work: Multiscale Stochastic Volatility Asymptotics / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility Effects on Defaultable Bonds
+Normal rank
@@ Property / cites work @@
+Pricing Perpetual Fund Protection with Withdrawal Option
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q4794126
@@ Property / cites work: Q4794126 / rank @@
+Normal rank
@@ Property / cites work @@
+THE ANALYTICITY AND GENERAL SOLUTION OF THE CAUCHY-STEFAN PROBLEM
+Normal rank
@@ Property / cites work @@
+An exact and explicit solution for the valuation of American put options
+Normal rank
@@ Property / cites work @@
+A new analytical approximation for European puts with stochastic volatility
+Normal rank
@@ Property / cites work @@
+A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
+Normal rank
@@ Property / cites work @@
+A spectral-collocation method for pricing perpetual American puts with stochastic volatility
+Normal rank