Optimal Stopping and the American Put
From MaRDI portal
Publication:4345908
DOI10.1111/J.1467-9965.1991.TB00007.XzbMATH Open0900.90109OpenAlexW2151078973MaRDI QIDQ4345908FDOQ4345908
Authors: S. D. Jacka 
Publication date: 31 August 1997
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1991.tb00007.x
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
Cited In (only showing first 100 items - show all)
- The valuation of American barrier options using the decomposition technique
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
- The early exercise premium representation for American options on multiply assets
- A new approach for pricing discounted American options
- Pricing American put options on defaultable bonds
- An approximate moving boundary method for American option pricing
- The homotopy perturbation method for the Black–Scholes equation
- The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
- American option prices in a Markov chain market model
- Laplace transforms and American options
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
- Local time and the pricing of path-dependent options
- Some mathematical results in the pricing of American options
- Valuation of American continuous-installment options
- The Wiener disorder problem with finite horizon
- The trap of complacency in predicting the maximum
- CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA
- Numerical pricing of American put options on zero-coupon bonds.
- Optimal surrender strategies for equity-indexed annuity investors with partial information
- Analytical pricing of American options
- A new approach to the skorohod problem, and its applications
- Pricing American options written on two underlying assets
- Valuing American-style options under the CEV model: an integral representation based method
- The valuation of American call options on the minimum of two dividend-paying assets
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
- The limiting shape for drifted internal diffusion limited aggregation is a true heat ball
- On the convergence from discrete to continuous time in an optimal stopping problem.
- Optimal selling of an asset under incomplete information
- American option pricing under stochastic volatility: an efficient numerical approach
- Regularity of the American put option in the Black-Scholes model with general discrete dividends
- Optimal stopping under ambiguity in continuous time
- Boundary evolution equations for American options
- Nonparametric estimation of American options' exercise boundaries and call prices
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
- Sensitivity analysis of the optimal exercise boundary of the American put option
- Exercisability Randomization of the American Option
- An exact and explicit solution for the valuation of American put options
- Analytic solution for American barrier options with two barriers
- On the problem of optimal stopping for the composite Russian option
- American options with stochastic dividends and volatility: a nonparametric investigation
- A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
- An improved method for pricing and hedging long dated American options
- A simple iterative method for the valuation of American options
- Valuation of American partial barrier options
- Optimal stopping, free boundary, and American option in a jump-diffusion model
- Compact finite difference method for American option pricing
- Pricing and hedging american options analytically: a perturbation method
- Evaluation of American strangles
- Exchange Options Under Jump-Diffusion Dynamics
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
- A self-exciting threshold jump-diffusion model for option valuation
- Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options
- A semilinear Black and Scholes partial differential equation for valuing American options
- Analytical approximations for the critical stock prices of American options: a performance comparison
- On the sequential testing and quickest change-point detection problems for Gaussian processes
- CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS
- An integral representation approach for valuing American-style installment options with continuous payment plan
- Closed form approximations for spread options
- Regime uncertainty and optimal investment timing
- An optimal stopping problem with a reward constraint
- Valuation of European continuous-installment options
- A generalized complementarity approach to solving real option problems
- On an integral equation for the free-boundary of stochastic, irreversible investment problems
- The early exercise boundary under the jump to default extended CEV model
- A new predictor-corrector scheme for valuing American puts
- On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
- Optimal stopping problem in a model with compensated refusal of reward
- Convexity of the optimal stopping boundary for the American put option
- Title not available (Why is that?)
- American options and callable bonds under stochastic interest rates and endogenous bankruptcy
- An alternative approach to the valuation of American options and applications
- Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
- The American put with finite‐time maturity and stochastic interest rate
- New insights on testing the efficiency of methods of pricing and hedging American options
- THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS
- An integral equation for American put options on assets with general dividend processes
- A moving boundary approach to American option pricing
- A new form of the early exercise premium for American type derivatives
- A policy iteration algorithm for the American put option and free boundary control problems
- Optimal liquidation of an asset under drift uncertainty
- Properties of American volatility options in the mean-reverting 3/2 volatility model
- PRICING DERIVATIVES ON TWO-DIMENSIONAL LÉVY PROCESSES
- Surrender and path-dependent guarantees in variable annuities: integral equation solutions and benchmark methods
- Stopping at the maximum of geometric Brownian motion when signals are received
- An iterative procedure for solving integral equations related to optimal stopping problems
- American strangle options
- Corrected random walk approximations to free boundary problems in optimal stopping
- Finite horizon portfolio selection with durable goods
- Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
- Optimal finite horizon contract with limited commitment
- An explicit finite difference approach to the pricing problems of perpetual Bermudan options
- The American put is log-concave in the log-price
- American chooser options
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
- Portfolios of American options under general preferences: results and counterexamples
- GAME CALL OPTIONS REVISITED
- Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
- Pricing variable annuity with surrender guarantee
- A note on the nonlinear Volterra integral equation for the early exercise boundary
This page was built for publication: Optimal Stopping and the American Put
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4345908)
