Randomization and the American Put
From MaRDI portal
Publication:5374084
DOI10.1093/rfs/11.3.597zbMath1386.91134OpenAlexW3124480685MaRDI QIDQ5374084
Publication date: 6 April 2018
Published in: Review of Financial Studies (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/89920704c2a16137c82354939cb0307abd0f562c
Related Items
LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS ⋮ Double continuation regions for American options under Poisson exercise opportunities ⋮ Intra‐Horizon expected shortfall and risk structure in models with jumps ⋮ An implicit scheme for American put options ⋮ Haar‐wavelet based approximation for pricing American options under linear complementarity formulations ⋮ Predicting the last zero before an exponential time of a spectrally negative Lévy process ⋮ Generalized exponential basis for efficient solving of homogeneous diffusion free boundary problems: Russian option pricing ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims ⋮ An integral equation approach for pricing American put options under regime-switching model ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Optimal Periodic Replenishment Policies for Spectrally Positive Lévy Demand Processes ⋮ Efficient pricing of swing options in Lévy-driven models ⋮ A simple iterative method for the valuation of American options ⋮ A Dynkin game with asymmetric information ⋮ PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD ⋮ A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes ⋮ An exact and explicit solution for the valuation of American put options ⋮ Discrete dividends and the FTSE-100 index options valuation ⋮ American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics ⋮ A Simple Wiener-Hopf Factorization Approach for Pricing Double-Barrier Options ⋮ American Option Valuation under Continuous-Time Markov Chains ⋮ Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models ⋮ Volatility smile as relativistic effect ⋮ On the analytical/numerical pricing of American put options against binomial tree prices ⋮ On the binomial tree method and other issues in connection with pricing Bermudan and American options ⋮ On the perpetual American put options for level dependent volatility models with jumps ⋮ Move-based hedging of variable annuities: a semi-analytic approach ⋮ American Options in the Heston Model with Stochastic Interest Rate and Its Generalizations ⋮ Moments and polynomial expansions in discrete matrix-analytic models ⋮ On the randomized Schmitter problem ⋮ A new integral equation formulation for American put options ⋮ Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models ⋮ A unified approach to Bermudan and barrier options under stochastic volatility models with jumps ⋮ Periodic threshold-type dividend strategy in the compound Poisson risk model ⋮ Financial options pricing with regime-switching jump-diffusions ⋮ Geometric step options and Lévy models: duality, pides, and semi-analytical pricing ⋮ Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory ⋮ ESO Valuation with Job Termination Risk and Jumps in Stock Price ⋮ Valuing American options under the CEV model by Laplace-Carson transforms ⋮ AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING ⋮ Valuing executive stock options: a quadratic approximation ⋮ CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA ⋮ SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT? ⋮ The randomized American option as a classical solution to the penalized problem ⋮ Direct computation for American put option and free boundary using finite difference method ⋮ Fast Laplace transform methods for free-boundary problems of fractional diffusion equations ⋮ Exercisability Randomization of the American Option ⋮ On the methods of pricing American options: case study ⋮ Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation ⋮ An integration by parts type formula for stopping times and its application ⋮ Perpetual American options with fractional Brownian motion ⋮ Early exercise boundary and option prices in Lévy driven models ⋮ The Leland-Toft optimal capital structure model under Poisson observations ⋮ CEV asymptotics of American options ⋮ The random-time binomial model ⋮ A note on a Lévy insurance risk model under periodic dividend decisions ⋮ Parisian options with jumps: a maturity–excursion randomization approach ⋮ An adaptive premium policy with a Bayesian motivation in the classical risk model ⋮ Numerical techniques in Lévy fluctuation theory ⋮ Perpetual options and Canadization through fluctuation theory ⋮ Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options ⋮ A Wiener-Hopf Monte Carlo simulation technique for Lévy processes ⋮ Laplace transform method for pricing American CEV strangles option with two free boundaries ⋮ An insurance risk model with Parisian implementation delays ⋮ American options: the EPV pricing model ⋮ A HODIE finite difference scheme for pricing American options ⋮ The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach ⋮ VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES ⋮ ALTERNATIVE RANDOMIZATION FOR VALUING AMERICAN OPTIONS ⋮ CTMC integral equation method for American options under stochastic local volatility models ⋮ Dynamic asset pricing theory with uncertain time-horizon ⋮ On the dual risk model with Parisian implementation delays in dividend payments ⋮ PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES ⋮ Valuing finite-lived Russian options ⋮ Fast and accurate pricing of barrier options under Lévy processes ⋮ Analytical approximations for the critical stock prices of American options: a performance comparison ⋮ Analytic solution for American strangle options using Laplace-Carson transforms ⋮ A two-step simulation procedure to analyze the exercise features of American options ⋮ Analytically pricing double barrier options based on a time-fractional Black-Scholes equation ⋮ Finite expiry Russian options ⋮ On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts. ⋮ A spectral-collocation method for pricing perpetual American puts with stochastic volatility ⋮ On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options ⋮ Pricing perpetual American options under a stochastic-volatility model with fast mean reversion ⋮ Probabilistic approach to free boundary problems and pricing of American options ⋮ Maturity randomization for stochastic control problems ⋮ An algorithm for optimal portfolio selection problem with transaction costs and random lifetimes ⋮ Option pricing, maturity randomization and distributed computing ⋮ Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications ⋮ Financial valuation of guaranteed minimum withdrawal benefits ⋮ Numerical methods for pricing American options with time-fractional PDE models ⋮ Optimal exit strategies for investment projects ⋮ On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions ⋮ On perpetual American put valuation and first-passage in a regime-switching model with jumps ⋮ An Euler–Poisson scheme for Lévy driven stochastic differential equations ⋮ Wavelet Galerkin pricing of American options on Lévy driven assets ⋮ On barrier option pricing by Erlangization in a regime-switching model with jumps ⋮ Time-Randomized Stopping Problems for a Family of Utility Functions ⋮ An iterative procedure for solving integral equations related to optimal stopping problems ⋮ Efficient valuation of a variable annuity contract with a surrender option ⋮ Pricing perpetual American catastrophe put options: A penalty function approach ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs ⋮ A general framework for evaluating executive stock options ⋮ PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS ⋮ Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree ⋮ DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS ⋮ An improved Barone-Adesi Whaley formula for turbulent markets ⋮ Valuing continuous-installment options ⋮ Portfolio Choice with Transaction Costs: A User’s Guide ⋮ The valuation of American barrier options using the decomposition technique ⋮ A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS ⋮ Russian and American put options under exponential phase-type Lévy models. ⋮ Pricing and exercising American options: an asymptotic expansion approach ⋮ Pricing Israeli options: a pathwise approach ⋮ On convergence of a semi-analytical method for American option pricing ⋮ Markets with random lifetimes and private values: mean reversion and option to trade ⋮ A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes ⋮ A closed-form solution to American options under general diffusion processes ⋮ Variable annuity with a surrender option under multiscale stochastic volatility ⋮ Mortgage valuation: a quasi-closed-form solution ⋮ Z-Transform and preconditioning techniques for option pricing
This page was built for publication: Randomization and the American Put