The following pages link to On the pricing of American options (Q913622):
Displayed 50 items.
- A generalized complementarity approach to solving real option problems (Q844678) (← links)
- Numerical methods for the pricing of swing options: a stochastic control approach (Q861551) (← links)
- Discrete time stochastic multi-player competitive games with affine payoffs (Q898397) (← links)
- Free boundary and optimal stopping problems for American Asian options (Q928494) (← links)
- Variational inequalities in Hilbert spaces with measures and optimal stopping problems (Q946223) (← links)
- Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule (Q951396) (← links)
- Evaluation of American strangles (Q953735) (← links)
- Hedging using simulation: a least squares approach (Q956433) (← links)
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options (Q972768) (← links)
- Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options (Q976775) (← links)
- On perpetual American put valuation and first-passage in a regime-switching model with jumps (Q1003346) (← links)
- Defaultable game options in a hazard process model (Q1039923) (← links)
- Optimal trading of stock options under alternative strategy (Q1206118) (← links)
- Volatility misspecification, option pricing and superreplication via coupling (Q1296625) (← links)
- Error estimates for the binomial approximation of American put options (Q1296626) (← links)
- Labor income, borrowing constraints, and equilibrium asset prices (Q1341465) (← links)
- Pricing contingent claims in incomplete markets when the holder can choose among different payoffs. (Q1413354) (← links)
- Critical price near maturity for an American option on a dividend-paying stock. (Q1413692) (← links)
- The valuation of American call options on the minimum of two dividend-paying assets (Q1425482) (← links)
- Nonparametric estimation of American options' exercise boundaries and call prices (Q1583161) (← links)
- Commodity spread option with cointegration (Q1627674) (← links)
- Supermartingale decomposition theorem under \(G\)-expectation (Q1663870) (← links)
- Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion (Q1705559) (← links)
- A unified framework for stochastic optimization (Q1719609) (← links)
- Long-term optimal portfolios with floor (Q1761450) (← links)
- An optimal stopping problem with a reward constraint (Q1761452) (← links)
- Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing (Q1771800) (← links)
- Pricing and hedging of american contingent claims in incomplete markets (Q1806063) (← links)
- On the use of boundary conditions for variational formulations arising in financial mathematics. (Q1855082) (← links)
- Synthetic replication of American contingent claims when portfolios are constrained (Q1890718) (← links)
- American put options with a finite set of exercisable time epochs (Q1905857) (← links)
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets (Q1922096) (← links)
- Optimal stopping under ambiguity in continuous time (Q1938957) (← links)
- Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model (Q1946533) (← links)
- American options with stochastic dividends and volatility: a nonparametric investigation (Q1969814) (← links)
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies (Q1974042) (← links)
- Probabilistic approach to free boundary problems and pricing of American options (Q2016260) (← links)
- American options in nonlinear markets (Q2042845) (← links)
- Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets (Q2127475) (← links)
- Bermudan options pricing formulas in uncertain financial markets (Q2169605) (← links)
- Valuing American-style options under the CEV model: an integral representation based method (Q2180299) (← links)
- Time consistent pricing of options with embedded decisions (Q2180301) (← links)
- Early exercise boundaries for American-style knock-out options (Q2183887) (← links)
- American perpetual options with random start (Q2211060) (← links)
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach (Q2236410) (← links)
- American chooser options (Q2271613) (← links)
- American step options (Q2282524) (← links)
- Combining statistical intervals and market prices: the worst case state price distribution (Q2323381) (← links)
- Try before you buy: a theory of dynamic information acquisition (Q2324837) (← links)
- G-Doob-Meyer decomposition and its applications in bid-ask pricing for derivatives under Knightian uncertainty (Q2336966) (← links)