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)
- 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)
- 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)
- American chooser options (Q2271613) (← 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)
- The American put is log-concave in the log-price (Q2581491) (← links)
- Optimal stopping under model uncertainty and the regularity of lower Snell envelopes (Q2869977) (← links)
- Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation (Q2889595) (← 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)
- 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)