PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES (Q2875728): Difference between revisions

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+https://doi.org/10.1111/mafi.12008
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+Q124801227
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+The American put option in a one-dimensional diffusion model with level-dependent volatility
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+Optimal stopping for dynamic convex risk measures
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+Optimal stopping for non-linear expectations. I
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+Dual pricing of multi-exercise options under volume constraints
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+On the theory of option pricing
@@ Property / cites work: On the theory of option pricing / rank @@
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+OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
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+Properties of American option prices
@@ Property / cites work: Properties of American option prices / rank @@
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+Robustness of the Black and Scholes Formula
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+Stochastic finance. An introduction in discrete time
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+Exponential utility indifference valuation in two Brownian settings with stochastic correlation
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+THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS
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+Risk aversion and block exercise of executive stock options
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+The impact of the market portfolio on the valuation, incentives and optimality of executive stock options
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+Valuing the option to invest in an incomplete market
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+OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
@@ Property / cites work: OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS / rank @@
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+Volatility misspecification, option pricing and superreplication via coupling
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+Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
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+Optimal Stopping and the American Put
@@ Property / cites work: Optimal Stopping and the American Put / rank @@
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+Prospect Theory: An Analysis of Decision under Risk
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+On the pricing of American options
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+Representations for Optimal Stopping under Dynamic Monetary Utility Functionals
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+ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
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+MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
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+Q4905685
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+The pricing of the American option
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+Optimal Stopping With Multiple Priors
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+Optimal exercise of executive stock options
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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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+An integral equation for American put options on assets with general dividend processes
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+Publication:2875728