The following pages link to On the pricing of American options (Q913622):
Displaying 50 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)
- The early exercise boundary under the jump to default extended CEV model (Q781553) (← 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)
- 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)
