CEV asymptotics of American options (Q2442980): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jmaa.2013.02.036
+Normal rank
@@ Property / OpenAlex ID @@
+W2085569543
@@ Property / OpenAlex ID: W2085569543 / 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 @@
+Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility
+Normal rank
@@ Property / cites work @@
+Pricing and Hedging Path-Dependent Options Under the CEV Process
+Normal rank
@@ Property / cites work @@
+Q4368791
@@ Property / cites work: Q4368791 / rank @@
+Normal rank
@@ Property / cites work @@
+Valuing finite-lived Russian options
@@ Property / cites work: Valuing finite-lived Russian options / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic option pricing under the CEV diffusion
@@ Property / cites work: Asymptotic option pricing under the CEV diffusion / rank @@
+Normal rank
@@ Property / cites work @@
+Gaussian quadrature formulas for the numerica l integration of Bromwich's integral and the inversion of the Laplace transform
+Normal rank
@@ Property / cites work @@
+Stochastic volatility asymptotics of stock loans: valuation and optimal stopping
+Normal rank
@@ Property / cites work @@
+An Artificial Boundary Method for American Option Pricing under the CEV Model
+Normal rank
@@ Property / cites work @@
+Valuing American options under the CEV model by Laplace-Carson transforms
+Normal rank
@@ Property / cites work @@
+STOCK LOANS
@@ Property / cites work: STOCK LOANS / rank @@
+Normal rank
@@ Property / cites work @@
+On a free boundary problem for an American put option under the CEV process
+Normal rank
@@ Property / cites work @@
+A closed-form solution to American options under general diffusion processes
+Normal rank