The following pages link to On the pricing of American options (Q913622):
Displayed 50 items.
- Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← links)
- Exercise boundary of American-style Asian option (Q2378896) (← links)
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty (Q2465446) (← links)
- Hedging American contingent claims with arbitrage costs (Q2482406) (← links)
- Properties of American option prices (Q2485809) (← links)
- On the regularity of the free boundary in the parabolic obstacle problem. Application to American options (Q2498794) (← links)
- Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model (Q2512852) (← links)
- The American put is log-concave in the log-price (Q2581491) (← links)
- Valuation of the American put option as a free boundary problem through a high-order difference scheme (Q2698660) (← links)
- Optimal stopping under model uncertainty and the regularity of lower Snell envelopes (Q2869977) (← links)
- PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES (Q2875728) (← links)
- Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation (Q2889595) (← links)
- American Option Pricing Using Simulation and Regression: Numerical Convergence Results (Q2920953) (← links)
- Arbitrage-free interval of American contingent claims under proportional transaction cost (Q2937937) (← links)
- COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS (Q2996867) (← links)
- CRITICAL STOCK PRICE NEAR EXPIRATION (Q3126224) (← links)
- ATTAINABLE CLAIMS IN A MARKOV MARKET (Q3126227) (← links)
- Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options (Q3189132) (← links)
- A generalized clark representation formula, with application to optimal portfolios (Q3349710) (← links)
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach (Q3395729) (← links)
- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing (Q3411074) (← links)
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS (Q3421829) (← links)
- The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope (Q3429332) (← links)
- A digitalized employee option (Q3429335) (← links)
- American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach (Q3515079) (← links)
- WORST-CASE SCENARIOS FOR AMERICAN OPTIONS (Q3523541) (← links)
- REPLICATION OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS (Q3523581) (← links)
- ALTERNATIVE RANDOMIZATION FOR VALUING AMERICAN OPTIONS (Q3566765) (← links)
- The Valuation of American Options with Stochastic Stopping Time Constraints (Q3652698) (← links)
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS (Q4226853) (← links)
- Term structure of interest rates: Discontinuous case (Q4234440) (← links)
- Optimal Stopping and the American Put (Q4345908) (← links)
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (Q4345925) (← links)
- Pricing Options On Risky Assets In A Stochastic Interest Rate Economy<sup>1</sup> (Q4345932) (← links)
- A Martingale Representation Result and an Application to Incomplete Financial Markets (Q4345933) (← links)
- Convergence of the Critical Price In the Approximation of American Options (Q4372008) (← links)
- ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS<sup>1</sup> (Q4372015) (← links)
- Perpetual American put options in a level-dependent volatility model (Q4462704) (← links)
- THE EARLY EXERCISE PREMIUM IN AMERICAN OPTIONS BY USING NONPARAMETRIC REGRESSIONS (Q4555849) (← links)
- Recombining Tree Approximations for Optimal Stopping for Diffusions (Q4579835) (← links)
- BEHAVIORAL VALUE ADJUSTMENTS (Q4602492) (← links)
- American Options with Discontinuous Two-Level Caps (Q4635248) (← links)
- INTEGRAL EQUATION FORMULATION FOR SHOUT OPTIONS (Q4683923) (← links)
- CHANGE OF NUMÉRAIRE AND AMERICAN OPTIONS (Q4796575) (← links)
- Contingent claim valuation in a market with different interest rates (Q4859449) (← links)
- NONCONVEXITY OF THE OPTIMAL EXERCISE BOUNDARY FOR AN AMERICAN PUT OPTION ON A DIVIDEND‐PAYING ASSET (Q4906518) (← links)
- Bayesian Dividend Optimization and Finite Time Ruin Probabilities (Q4981823) (← links)
- (Q5088812) (← links)
- On perpetual American options in a multidimensional Black–Scholes model (Q5094573) (← links)
- Representation of exchange option prices under stochastic volatility jump-diffusion dynamics (Q5121499) (← links)