scientific article; zbMATH DE number 1284287

MaRDI QIDQ4241870zbMATH OpenFDO

Authors Mark Broadie, Jérôme Detemple

Publication date 19 July 1999

zbMATH Keywords

American optionsBrownian motion processfinancial marketoption pricing

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• The Valuation of American Options on Multiple Assets
• Analytical valuation of American options on jump-diffusion processes.
• American call pricing on dividend-paying and placing stocks with stochastic volatility
• The valuation of American options for a class of diffusion processes
• The early exercise premium representation for American options on multiply assets

Cited in

(10)

• The valuation of American call options on the minimum of two dividend-paying assets
• American options with stochastic dividends and volatility: a nonparametric investigation
• American barrier option pricing formulas for currency model in uncertain environment
• The early exercise premium representation for American options on multiply assets
• The valuation of American options for a class of diffusion processes
• American call pricing on dividend-paying and placing stocks with stochastic volatility
• The Valuation of American Options on Multiple Assets
• American options with discontinuous two-level caps
• American-style derivatives. Valuation and computation.
• Valuation and optimal strategies for American options under a Markovian regime-switching model

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