The following pages link to On the pricing of American options (Q913622):
Displayed 14 items.
- Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options (Q5219504) (← links)
- Convex Order for Path-Dependent Derivatives: A Dynamic Programming Approach (Q5270095) (← links)
- ON THE LOWER ARBITRAGE BOUND OF AMERICAN CONTINGENT CLAIMS (Q5411397) (← links)
- The obstacle problem for a class of hypoelliptic ultraparabolic equations (Q5438180) (← links)
- CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL (Q5692938) (← links)
- On American Derivatives and Related Obstacle Problems (Q5696869) (← links)
- The representation of American options prices under stochastic volatility and jump-diffusion dynamics (Q5746758) (← links)
- Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options (Q5746994) (← links)
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes (Q5962134) (← links)
- A penalty method for American multi-asset option problems (Q6040370) (← links)
- The American put with finite‐time maturity and stochastic interest rate (Q6054438) (← links)
- Convex duality for partial hedging of American options: continuous price processes (Q6111062) (← links)
- The stochastic balance equation for the American option value function and its gradient (Q6144442) (← links)
- Simulated Greeks for American options (Q6158428) (← links)