A new integral equation formulation for American put options (Q4554433): Difference between revisions

@@ Property / author @@
-Song-Ping Zhu
@@ Property / author: Song-Ping Zhu / rank @@
-Normal rank
@@ 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 / OpenAlex ID @@
+W2747730274
@@ Property / OpenAlex ID: W2747730274 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / 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 @@
+ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
+Normal rank
@@ Property / cites work @@
+A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
+Normal rank
@@ Property / cites work @@
+NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET
+Normal rank
@@ Property / cites work @@
+Q5568092
@@ Property / cites work: Q5568092 / rank @@
+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 @@
+Q4822982
@@ Property / cites work: Q4822982 / rank @@
+Normal rank
@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
+Normal rank
@@ Property / cites work @@
+Power penalty method for a linear complementarity problem arising from American option valuation
+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 FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
+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 @@
+An inverse finite element method for pricing American options
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:4554433