Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives (Q2148591): Difference between revisions

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+The Pricing of Options and Corporate Liabilities
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+Analytically pricing European-style options under the modified Black-Scholes equation with a spatial-fractional derivative
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+An exact and explicit solution for the valuation of American put options
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+A predictor-corrector approach for pricing American options under the finite moment log-stable model
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+A penalty method for a fractional order parabolic variational inequality governing American put option valuation
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+A finite difference method for pricing European and American options under a geometric Lévy process
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+Properties of American option prices
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+Robustness of the Black and Scholes Formula
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+Volatility misspecification, option pricing and superreplication via coupling
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+Convexity of the optimal stopping boundary for the American put option
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+CONVEXITY OF THE EXERCISE BOUNDARY OF THE AMERICAN PUT OPTION ON A ZERO DIVIDEND ASSET
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+Stochastic calculus for finance. I: The binomial asset pricing model.
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