American-style derivatives. Valuation and computation.
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Portfolio theory (91G10) Financial applications of other theories (91G80)
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(71)- Commodity spread option with cointegration
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- Portfolio selection with consumption ratcheting
- An improved least squares Monte Carlo valuation method based on heteroscedasticity
- Hybrid Laplace transform and finite difference methods for pricing American options under complex models
- Relationship between least squares Monte Carlo and approximate linear programming
- Comparison of least squares Monte Carlo methods with applications to energy real options
- Strict local martingale deflators and valuing American call-type options
- The monotone case approach for the solution of certain multidimensional optimal stopping problems
- Analysis of optimal dynamic withdrawal policies in withdrawal guarantee products
- Analysis of the optimal exercise boundary of American put options with delivery lags
- An integral equation approach for the valuation of American-style down-and-out calls with rebates
- Target-initiated takeover with search frictions
- Optimal finite horizon contract with limited commitment
- Perpetual American double lookback options on drawdowns and drawups with floating strikes
- Optimal exercise of American put options near maturity: a new economic perspective
- Early exercise boundaries for American-style knock-out options
- Optimal stopping problems for running minima with positive discounting rates
- CTMC integral equation method for American options under stochastic local volatility models
- American chooser options
- American step options
- Pricing and exercising American options: an asymptotic expansion approach
- Calculating the American options in the default model
- On a new family of radial basis functions: mathematical analysis and applications to option pricing
- Optimal mean-reverting spread trading: nonlinear integral equation approach
- The early exercise premium representation for American options on multiply assets
- Perpetual American options in diffusion-type models with running maxima and drawdowns
- Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation
- Pricing American-style derivatives with European call options
- Analytical and numerical approach to financial derivatives -- an overview
- American options in the Heston model with stochastic interest rate and its generalizations
- scientific article; zbMATH DE number 1030729 (Why is no real title available?)
- scientific article; zbMATH DE number 1069618 (Why is no real title available?)
- On the sequential testing and quickest change-point detection problems for Gaussian processes
- PRICING EUROPEAN OPTIONS ON REGIME-SWITCHING ASSETS: A COMPARATIVE STUDY OF MONTE CARLO AND FINITE-DIFFERENCE APPROACHES
- On the American swaption in the linear-rational framework
- Parisian options with jumps: a maturity-excursion randomization approach
- American options with discontinuous two-level caps
- Mathematical properties of American chooser options
- Optimal stopping problems for maxima and minima in models with asymmetric information
- A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates
- Discounted optimal stopping problems in continuous hidden Markov models
- Perpetual American Standard and Lookback Options with Event Risk and Asymmetric Information
- Statistical distributions, European option, American option, and option bounds
- Executive stock option exercise with full and partial information on a drift change point
- American strangle options
- A survey on American options: old approaches and new trends
- American Option Valuation under Continuous-Time Markov Chains
- Semi-parametric estimation of American option prices
- Approximate solutions for the British put option and its optimal exercise boundary
- Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes
- A bridge between American and European options: the ``Ameripean delayed-exercise model
- Discounted optimal stopping problems in first-passage time models with random thresholds
- American prices embedded in European prices
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
- An implicit scheme for American put options
- A review of the operations literature on real options in energy
- An analytic formula for the price of an American-style Asian option of floating strike type
- On some generalized American style derivatives
- On the American style futures contracts
- Perpetual American compound fixed-strike lookback options on maxima drawdowns
- Discounted optimal stopping zero-sum games in diffusion type models with maxima and minima
- Discounted nonzero-sum optimal stopping games under Poisson random intervention times
- Optimal stopping zero-sum games in continuous hidden Markov models
- Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry
- The early exercise boundary under the jump to default extended CEV model
- Finite project life and uncertainty effects on investment
- Convenience yields
- Analytical approximations for the critical stock prices of American options: a performance comparison
- Hybrid or electric vehicles? A real options perspective
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
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