The Valuation of American Options on Multiple Assets
From MaRDI portal
(Redirected from Publication:4354432)
Recommendations
- The early exercise premium representation for American options on multiply assets
- Exercise regions of American options on several assets
- scientific article; zbMATH DE number 1284287
- American options with discontinuous two-level caps
- The valuation of American call options on the minimum of two dividend-paying assets
Cited in
(77)- Monte Carlo methods for security pricing
- The valuation of American call options on the minimum of two dividend-paying assets
- The valuation of American barrier options using the decomposition technique
- Analysis of pricing American options on the maximum (minimum) of two risk assets
- Long-term risk management of nuclear waste: A real options approach
- Commodity spread option with cointegration
- A bound on the value of a two-sided Margrabe American option with finite expiration
- An integration by parts type formula for stopping times and its application
- An upper bound on the value of an infinite American call option on two assets
- Exercise regions of American options on several assets
- Pricing variable annuity with surrender guarantee
- Parallel search for information in continuous time -- optimal stopping and geometry of the PDE
- A general error estimate for parabolic variational inequalities
- Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory
- A new integral equation approach for pricing American-style barrier options with rebates
- Primal-dual active set method for pricing American better-of option on two assets
- A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options
- American chooser options
- Valuation of American passport option using a three-time level scheme
- A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
- On the behaviour near expiry for multi-dimensional American options
- The early exercise premium representation for American options on multiply assets
- A bound on the value of a two-sided Margrabe infinite American option
- Insurance guaranty premiums and exchange options
- Real options with a double continuation region
- Pricing American options written on two underlying assets
- Exchange Options Under Jump-Diffusion Dynamics
- Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity
- Optimal redeeming strategy of stock loans with finite maturity
- On a constant related to American type options
- Valuing American contingent claims when time to maturity is uncertain
- SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING
- Derman and Taleb's ‘The illusions of dynamic replication’: a comment
- Exercise boundary near maturity for an American option on several assets
- Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result
- Regularity of the free boundary of an American option on several assets
- Multi-asset American options and parallel quantization
- Variational inequalities in stock loan models
- scientific article; zbMATH DE number 1284287 (Why is no real title available?)
- On the sequential testing and quickest change-point detection problems for Gaussian processes
- A moment-based analytic approximation of the risk-neutral density of American options
- Pricing equity options everywhere
- American options with discontinuous two-level caps
- Perpetual exchange options under jump-diffusion dynamics
- Optimal control for n-person differential stochastic inclusions
- Optimal regularity in rooftop-like obstacle problem
- Pricing American options by exercise rate optimization
- Pricing renewable identification numbers under uncertainty
- On perpetual American options in a multidimensional Black-Scholes model
- Finite element approximation of an obstacle problem for a class of integro-differential operators
- Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
- Free boundary regularity close to initial state for parabolic obstacle problem
- Investment decisions under uncertainty and evaluation of American options
- On American Derivatives and Related Obstacle Problems
- Optimal procurement and investment in new technologies under uncertainty
- Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods
- On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems
- Stock loan with automatic termination clause, cap and margin
- An overview of approximate dynamic programming methods for optimal stopping problems
- Exact terminal condition neural network for American option pricing based on the Black-Scholes-Merton equations
- Valuation of American maximum exchange rate quanto lookback options
- A novel idea to solve optimal stopping problem with finite time horizon and its application in American put
- Stopping times of boundaries: relaxation and continuity
- A lower bound on the value of an infinite American call option on two assets
- Neural optimal stopping boundary
- Regularity near the initial state in the obstacle problem for a class of hypoelliptic ultraparabolic operators
- A direct algorithm in some free boundary problems
- Pricing of vulnerable digital exchange options under stochastic interest rate model
- Valuation of a nonexpiring American option on the maximum of a risky and a riskless asset
- A highly accurate linearized method for free boundary problems
- Option pricing on multiple assets
- An upper bound on the value of an infinite American call option on difference and sum of two assets
- Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
- Option valuation with co-integrated asset prices
- Hybrid or electric vehicles? A real options perspective
- The early exercise region for Bermudan options on two underlyings
- Technology choice under several uncertainty sources
This page was built for publication: The Valuation of American Options on Multiple Assets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4354432)