Calculating the American options in the default model (Q2371608): Difference between revisions

@@ Property / author @@
+Roman V. Ivanov
@@ Property / author: Roman V. Ivanov / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+The pricing of the American option
@@ Property / cites work: The pricing of the American option / rank @@
+Normal rank
@@ Property / cites work @@
+ON THE AMERICAN OPTION PROBLEM
@@ Property / cites work: ON THE AMERICAN OPTION PROBLEM / rank @@
+Normal rank
@@ Property / cites work @@
+Error estimates for the binomial approximation of American put options
+Normal rank
@@ Property / cites work @@
+Discrete approximation of finite-horizon American-style options
+Normal rank
@@ Property / cites work @@
+Q4845598
@@ Property / cites work: Q4845598 / rank @@
+Normal rank
@@ Property / cites work @@
+The Russian option: Reduced regret
@@ Property / cites work: The Russian option: Reduced regret / rank @@
+Normal rank
@@ Property / cites work @@
+Q4845601
@@ Property / cites work: Q4845601 / rank @@
+Normal rank
@@ Property / cites work @@
+Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
+Normal rank
@@ Property / cites work @@
+Pricing derivatives of American and game type in incomplete markets
+Normal rank
@@ Property / cites work @@
+American options on assets with dividends near expiry
+Normal rank
@@ Property / cites work @@
+Randomized Stopping Times and American Option Pricing with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Valuation of American options in the presence of event risk
+Normal rank
@@ Property / cites work @@
+PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY
@@ Property / cites work: PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1134/s0005117907030113
+Normal rank
@@ Property / OpenAlex ID @@
+W2018707852
@@ Property / OpenAlex ID: W2018707852 / rank @@
+Normal rank