PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
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Cites work
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Cited in
(70)- Accurate and efficient lattice algorithms for American-style Asian options with range bounds
- A modified binomial tree method for currency lookback options
- Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
- Collocation boundary element method for the pricing of geometric Asian options
- Modified B-spline collocation approach for pricing American style Asian options
- Variational analysis for generalized Kolmogorov operators
- The pricing of Asian options in uncertain volatility model
- Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations
- A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model
- A fast numerical method for the valuation of American lookback put options
- An integral equation representation approach for valuing Russian options with a finite time horizon
- A lattice approach to evaluate participating policies in a stochastic interest rate framework
- Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options
- General lattice methods for arithmetic Asian options
- Conservative third-order central-upwind schemes for option pricing problems
- A continuous dependence result for ultraparabolic equations in option pricing
- A convergent quadratic-time lattice algorithm for pricing European-style Asian options
- Finite difference scheme with a moving mesh for pricing Asian options
- Double-exponential fast Gauss transform algorithms for pricing discrete lookback options
- Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
- Analytical binomial lookback options with double-exponential jumps
- An efficient convergent lattice algorithm for European Asian options
- An analysis of path-dependent options
- Lattice-based model for pricing contingent claims under mixed fractional Brownian motion
- Valuation of the American put option as a free boundary problem through a high-order difference scheme
- Pricing of American contingent claims with jump stock price and constrained portfolios
- A meshless method for Asian style options pricing under the Merton jump-diffusion model
- Intensity-based models for pricing mortgage-backed securities with repayment risk under a CIR process
- A hybrid finite difference scheme for pricing Asian options
- AN ACCURATE VALUATION OF ASIAN OPTIONS USING MOMENTS
- NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES
- Optimal redeeming strategy of stock loans with finite maturity
- On pricing contingent claims under the double Heston model
- A stochastic approximation algorithm for American lookback put options
- Asian options, jump-diffusion processes on a lattice, and Vandermonde matrices
- Pricing American contingent claims by stochastic linear programming
- Employee stock option valuation with repricing features
- An alternating-direction implicit difference scheme for pricing Asian options
- A reliable numerical method to price arithmetic Asian options
- Mathematical analysis and numerical methods for a PDE model of a stock loan pricing problem
- An integer programming model for pricing American contingent claims under transaction costs
- A finite element approach to the pricing of discrete lookbacks with stochastic volatility
- Efficient willow tree method for European-style and American-style moving average barrier options pricing
- A LATTICE-BASED MODEL FOR EVALUATING BONDS AND INTEREST-SENSITIVE CLAIMS UNDER STOCHASTIC VOLATILITY
- Pricing equity options everywhere
- One-state variable binomial models for European-/American-style geometric Asian options
- Evaluation of double average asian options by the legendre spectral method
- Pricing a Class of American and European Path Dependent Securities
- Perpetual American put option: an error estimator for a second order non-standard finite difference scheme
- Risk-based capital for variable annuity under stochastic interest rate
- Optimal system of Lie group invariant solutions for the Asian option PDE
- A geometric statement of the Harnack inequality for a degenerate Kolmogorov equation with rough coefficients
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- An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
- The obstacle problem for a class of hypoelliptic ultraparabolic equations
- Efficient pricing of discrete Asian options
- A moment expansion approach to option pricing
- An efficient and accurate lattice for pricing derivatives under a jump-diffusion process
- On the fundamental solution for degenerate Kolmogorov equations with rough coefficients
- A mathematical modeling for the lookback option with jump-diffusion using binomial tree method
- On pricing arithmetic average reset options with multiple reset dates in a lattice framework
- Deep signature algorithm for multidimensional path-dependent options
- Valuation of American maximum exchange rate quanto lookback options
- A lattice-based algorithm for pricing derivatives in a fractional Brownian motion framework
- TVD, WENO and blended BDF discretizations for Asian options
- Convergence of the binomial tree method for Asian options in jump-diffusion models
- An exact subexponential-time lattice algorithm for Asian options
- Free boundary and optimal stopping problems for American Asian options
- Small dimension PDE for discrete Asian options
- Pricing American Asian options with higher moments in the underlying distribution
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