Properties of American option prices
From MaRDI portal
Publication:2485809
DOI10.1016/J.SPA.2004.05.002zbMATH Open1114.91050OpenAlexW2026920583MaRDI QIDQ2485809FDOQ2485809
Authors: Erik Ekström 
Publication date: 5 August 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2004.05.002
Recommendations
- Volatility time and properties of option prices
- PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS
- scientific article; zbMATH DE number 7703284
- American options and the free boundary exercise region: a PDE approach
- Sensitivity of American option prices with different strikes, maturities and volatilities
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- On the theory of option pricing
- On the pricing of American options
- Robustness of the Black and Scholes Formula
- Volatility misspecification, option pricing and superreplication via coupling
- On the properties of \(r\)-excessive mappings for a class of diffusions
- Volatility time and properties of option prices
- Optimal Stopping Rules for Stochastic Processes with Continuous Parameter
- Optimal Stopping of a Markov Process
- Sur l'approximation des réduites. (On the approximation of residues)
- Functional convergence of Snell envelopes: Applications to American options approximations
Cited In (32)
- On the American option-pricing model with an uncertain volatility
- Perpetual American options with asset-dependent discounting
- Sensitivity of American option prices with different strikes, maturities and volatilities
- The shape of the value function under Poisson optimal stopping
- Short selling with margin risk and recall risk
- A unique solution to a semilinear Black-Scholes partial differential equation for valuing multi-assets of American options
- Corrected random walk approximations to free boundary problems in optimal stopping
- An approximate dynamic programming algorithm for monotone value functions
- Bounds for perpetual American option prices in a jump diffusion model
- Perpetual American put options in a level-dependent volatility model
- The American put is log-concave in the log-price
- Bubbles, convexity and the Black-Scholes equation
- Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result
- Superreplication of Options on Several Underlying Assets
- Analytic properties of American option prices under a modified Black-Scholes equation with spatial fractional derivatives
- Portfolios of American options under general preferences: results and counterexamples
- Executive stock option exercise with full and partial information on a drift change point
- Optimal selling of an asset under incomplete information
- On Threshold Strategies and the Smooth-Fit Principle for Optimal Stopping Problems
- Bayesian sequential testing of the drift of a Brownian motion
- Sensitivity analysis of the optimal exercise boundary of the American put option
- Monotonicity of the value function for a two-dimensional optimal stopping problem
- How to escape a declining market: capacity investment or exit?
- The American foreign exchange option in time-dependent one-dimensional diffusion model for exchange rate
- Monotonicity of implied volatility for perpetual put options
- The pricing of the American option
- The American put option in a one-dimensional diffusion model with level-dependent volatility
- Title not available (Why is that?)
- PROPERTIES OF OPTION PRICES IN MODELS WITH JUMPS
- MONOTONICITY IN THE VOLATILITY OF SINGLE-BARRIER OPTION PRICES
- Convexity theory for the term structure equation
- Optimal exercise of an executive stock option by an insider
This page was built for publication: Properties of American option prices
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2485809)
