American options: the EPV pricing model (Q665543): Difference between revisions

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-.1007/s10436-004-0010-7
@@ Property / DOI: 10.1007/s10436-004-0010-7 / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1007/s10436-004-0010-7
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+W3123704155
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@@ Property / cites work @@
+Some remarks on first passage of Lévy processes, the American put and pasting principles
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+On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
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+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
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+Empirical option pricing: A retrospection
@@ Property / cites work: Empirical option pricing: A retrospection / rank @@
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+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
@@ Property / cites work: OPTION PRICING FOR TRUNCATED LÉVY PROCESSES / rank @@
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@@ Property / cites work @@
+Perpetual American Options Under Lévy Processes
@@ Property / cites work: Perpetual American Options Under Lévy Processes / rank @@
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@@ Property / cites work @@
+Q4331490
@@ Property / cites work: Q4331490 / rank @@
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@@ Property / cites work @@
+Barrier options and touch-and-out options under regular Lévy processes of exponential type
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+American Options in Regime-Switching Models
@@ Property / cites work: American Options in Regime-Switching Models / rank @@
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@@ Property / cites work @@
+Randomization and the American Put
@@ Property / cites work: Randomization and the American Put / rank @@
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+Alternative models for stock price dynamics.
@@ Property / cites work: Alternative models for stock price dynamics. / rank @@
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@@ Property / cites work @@
+Optimal Stopping for Partial Sums
@@ Property / cites work: Optimal Stopping for Partial Sums / rank @@
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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@@ Property / cites work @@
+MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
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@@ Property / cites work @@
+Optimal capital structure and endogenous default
@@ Property / cites work: Optimal capital structure and endogenous default / rank @@
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@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
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@@ Property / cites work @@
+Optimal stopping and perpetual options for Lévy processes
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@@ Property / cites work @@
+Q4802417
@@ Property / cites work: Q4802417 / rank @@
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@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / DOI @@
+.1007/S10436-004-0010-7
@@ Property / DOI: 10.1007/S10436-004-0010-7 / rank @@
+Normal rank