American option valuation using first-passage densities (Q2871435): Difference between revisions

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+CRITICAL STOCK PRICE NEAR EXPIRATION
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+ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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+Sequential tests constructed from images
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+Approximating the first crossing-time density for a curved boundary
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+The first-passage density of the Brownian motion process to a curved boundary
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+The valuation of American barrier options using the decomposition technique
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+Optimal Stopping and the American Put
@@ Property / cites work: Optimal Stopping and the American Put / rank @@
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+On an integral equation for first-passage-time probability densities
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+The hazard rate tangent approximation for boundary hitting times
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+On optimal stopping and free boundary problems
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+An exact and explicit solution for the valuation of American put options
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