Analytical pricing of American options (Q1937837): Difference between revisions

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+CRITICAL STOCK PRICE NEAR EXPIRATION
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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+A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
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+An explicit series approximation to the optimal exercise boundary of American put options
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+Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
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+THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
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+Evaluation of American strangles
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+A lattice algorithm for pricing moving average barrier options
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+American options on assets with dividends near expiry
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+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
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+Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
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+Q4889900
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+Normal rank
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium
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+Optimal Stopping and the American Put
@@ Property / cites work: Optimal Stopping and the American Put / rank @@
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+Optimal exercise boundary for an American put option
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+Option pricing when underlying stock returns are discontinuous
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+A moving boundary approach to American option pricing
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+Q4115333
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+PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD
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+An exact and explicit solution for the valuation of American put options
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+CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA
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