BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS (Q2875727): Difference between revisions

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+https://doi.org/10.1111/mafi.12002
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+W3124018866
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+American options with stochastic dividends and volatility: a nonparametric investigation
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+Pricing American-style securities using simulation
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+ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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+A simple level set method for solving Stefan problems
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+A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
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+American Options Under Stochastic Volatility
@@ Property / cites work: American Options Under Stochastic Volatility / rank @@
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+Multigrid for American option pricing with stochastic volatility
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@@ Property / cites work @@
+On the Partial Difference Equations of Mathematical Physics
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+Option pricing: A simplified approach
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+Q5783502
@@ Property / cites work: Q5783502 / rank @@
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+The Valuation of American Options for a Class of Diffusion Processes
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+American options on assets with dividends near expiry
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+On the Early Exercise Boundary of the American Put Option
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Q3374309
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+COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
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+Efficient numerical methods for pricing American options under stochastic volatility
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+A First Course in the Numerical Analysis of Differential Equations
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+Optimal Stopping and the American Put
@@ Property / cites work: Optimal Stopping and the American Put / rank @@
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+Regularity of the free boundary of an American option on several assets
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+Valuing American Options by Simulation: A Simple Least-Squares Approach
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+A moving boundary approach to American option pricing
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+The pricing of the American option
@@ Property / cites work: The pricing of the American option / rank @@
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+Q3378055
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+Q2713016
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+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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+On optimal stopping and free boundary problems
@@ Property / cites work: On optimal stopping and free boundary problems / rank @@
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