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

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+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
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+Empirical option pricing: A retrospection
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+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
@@ Property / cites work: OPTION PRICING FOR TRUNCATED LÉVY PROCESSES / rank @@
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+Perpetual American Options Under Lévy Processes
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+Q4331490
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+Barrier options and touch-and-out options under regular Lévy processes of exponential type
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+American Options in Regime-Switching Models
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+Randomization and the American Put
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+Alternative models for stock price dynamics.
@@ Property / cites work: Alternative models for stock price dynamics. / rank @@
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+Optimal Stopping for Partial Sums
@@ Property / cites work: Optimal Stopping for Partial Sums / rank @@
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+Transform Analysis and Asset Pricing for Affine Jump-diffusions
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+MARTINGALE APPROACH TO PRICING PERPETUAL AMERICAN OPTIONS ON TWO STOCKS
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+Optimal capital structure and endogenous default
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+Q4905685
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+Optimal stopping and perpetual options for Lévy processes
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+Q4802417
@@ Property / cites work: Q4802417 / rank @@
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+Q4937701
@@ Property / cites work: Q4937701 / rank @@
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