CTMC integral equation method for American options under stochastic local volatility models (Q2246620): 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.jedc.2021.104145
+Normal rank
@@ Property / OpenAlex ID @@
+W3160939411
@@ Property / OpenAlex ID: W3160939411 / rank @@
+Normal rank
@@ Property / cites work @@
+Theoretical Numerical Analysis
@@ Property / cites work: Theoretical Numerical Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal surrender policy for variable annuity guarantees
+Normal rank
@@ Property / cites work @@
+Pricing American-style securities using simulation
+Normal rank
@@ Property / cites work @@
+A General Framework for Pricing Asian Options Under Markov Processes
+Normal rank
@@ Property / cites work @@
+Valuation of stock loans with jump risk
@@ Property / cites work: Valuation of stock loans with jump risk / 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 @@
+The representation of American options prices under stochastic volatility and jump-diffusion dynamics
+Normal rank
@@ Property / cites work @@
+American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
+Normal rank
@@ Property / cites work @@
+American Options Under Stochastic Volatility
@@ Property / cites work: American Options Under Stochastic Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+A General Valuation Framework for SABR and Stochastic Local Volatility Models
+Normal rank
@@ Property / cites work @@
+The \(\alpha\)-hypergeometric stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Q5200620
@@ Property / cites work: Q5200620 / rank @@
+Normal rank
@@ Property / cites work @@
+The valuation of American call options on the minimum of two dividend-paying assets
+Normal rank
@@ Property / cites work @@
+The Valuation of American Options for a Class of Diffusion Processes
+Normal rank
@@ Property / cites work @@
+American Option Valuation under Continuous-Time Markov Chains
+Normal rank
@@ Property / cites work @@
+Q4086525
@@ Property / cites work: Q4086525 / rank @@
+Normal rank
@@ Property / cites work @@
+THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
+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 @@
+Operator splitting methods for American option pricing.
+Normal rank
@@ Property / cites work @@
+Static replication of barrier-type options via integral equations
+Normal rank
@@ Property / cites work @@
+A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
+Normal rank
@@ Property / cites work @@
+Pricing and exercising American options: an asymptotic expansion approach
+Normal rank
@@ Property / cites work @@
+Q4649579
@@ Property / cites work: Q4649579 / rank @@
+Normal rank
@@ Property / cites work @@
+A new integral equation approach for pricing American-style barrier options with rebates
+Normal rank
@@ Property / cites work @@
+A semi-analytic valuation of American options under a two-state regime-switching economy
+Normal rank
@@ Property / cites work @@
+CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES
+Normal rank
@@ Property / cites work @@
+Inequalities for differential and integral equations
+Normal rank
@@ Property / cites work @@
+THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
+Normal rank
@@ Property / cites work @@
+Valuing American options under the CEV model by Laplace-Carson transforms
+Normal rank