The following pages link to On the pricing of American options (Q913622):
Displayed 16 items.
- The early exercise premium representation for American options on multiply assets (Q253081) (← links)
- Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations (Q256114) (← links)
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach (Q291102) (← links)
- A self-exciting threshold jump-diffusion model for option valuation (Q343990) (← links)
- An integer programming model for pricing American contingent claims under transaction costs (Q429815) (← links)
- Semi-parametric estimation of American option prices (Q528168) (← links)
- An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options (Q534248) (← links)
- On the convergence from discrete to continuous time in an optimal stopping problem. (Q558676) (← links)
- Monte Carlo algorithms for optimal stopping and statistical learning (Q558680) (← links)
- The application of backward stochastic differential equation with stopping time in hedging American contingent claims (Q603497) (← links)
- An analytic formula for the price of an American-style Asian option of floating strike type (Q613214) (← links)
- Variational inequalities and the pricing of American options (Q751451) (← links)
- Optimal portfolio for a small investor in a market model with discontinuous prices (Q751951) (← links)
- Total risk aversion and the pricing of options (Q811316) (← links)
- Fair valuation of participating policies with surrender options and regime switching (Q817287) (← links)
- An explicit finite difference approach to the pricing problems of perpetual Bermudan options (Q842831) (← links)