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(only showing first 100 items - show all)- Adaptive lattice methods for multi-asset models
- An efficient method for option pricing with discrete dividend payment
- Accurate and efficient lattice algorithms for American-style Asian options with range bounds
- A software architecture framework for on-line option pricing
- Adaptive placement method on pricing arithmetic average options
- On improving the least squares Monte Carlo option valuation method
- Implied recovery
- Pricing American barrier options with discrete dividends by binomial trees
- Computationally simple lattice methods for option and bond pricing
- Option pricing under the Merton model of the short rate
- A fuzzy pay-off method for real option valuation
- On the use of semimartingales and stochastic integrals to model continuous trading
- An extension of the Black-Scholes model of security valuation
- Option pricing methods: an overview
- Martingales and stochastic integrals in the theory of continuous trading
- A simplified treatment of the theory of optimal regulation of Brownian motion
- Optimal consumption-portfolio policies: A convergence from discrete to continuous time models
- Bond options and bond portfolio insurance
- Qualitative threshold ARCH models
- Optimal exercise policies for call options and their valuation
- An actuarial approach to option pricing under the physical measure and without market assumptions
- Products of trees for investment analysis
- Pricing the American put option: A detailed convergence analysis for binomial models
- A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model
- A lattice approach for pricing of multivariate contingent claims
- Transaction costs and efficiency of portfolio strategies
- Searching for an optimal rotation age forest stand management under stochastic log prices
- A more accurate finite difference approach to the pricing of contingent claims
- An upwind approach for an American and European option pricing model
- Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
- Call option pricing and replication under economic friction
- Option replication with transaction costs: general diffusion limits
- Error estimates for the binomial approximation of American put options
- Valuing flexibility: An impulse control framework
- Approximate valuation of average options
- Stimmrechtsbeschränkung und take-over
- Spanning, valuation and options
- From binomial expectations to the Black-Scholes formula: The main ideas
- A variational approach for pricing options and corporate bounds
- Local parametric analysis of hedging in discrete time
- An option pricing problem with the underlying stock paying dividends
- Pricing American-style securities using simulation
- Optimal delta-hedging under transactions costs
- Numerical analysis on binomial tree methods for a jump-diffusion model.
- A discrete-time model of American put option in an uncertain environment.
- Progressive option bounds from the sequence of concurrently expiring options.
- A bounded risk strategy for a market with non-observable parameters.
- The concept of comonotonicity in actuarial science and finance: applications.
- New method to option pricing for the general Black-Scholes model -- an actuarial approach
- Transaction costs and a redundant security: Divergence of individual and social relevance
- Binomial valuation of lookback options
- Option pricing and replication with transaction costs and dividends
- Nonparametric estimation of American options' exercise boundaries and call prices
- On dynamic investment strategies
- A modified binomial tree method for currency lookback options
- On the option pricing for a generalization of the binomial model
- Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
- Option pricing for stable and infinitely divisible asset returns
- Binomial option pricing with nonidentically distributed returns and its implications
- Statistical mechanics of financial markets: exponential modifications to Black-Scholes.
- A quasi-radial basis functions method for American options pricing.
- Pricing derivatives on multiple assets: recombining multinomial trees based on Pascal's simplex
- Parameter estimation and inference in dynamic systems described by linear partial differential equations
- Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities
- Computation of Greeks using binomial trees in a jump-diffusion model
- The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense
- Asynchronous iterations of parareal algorithm for option pricing models
- Using a meshless kernel-based method to solve the Black-Scholes variational inequality of American options
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- Valuation of American strangles through an optimized lower-upper bound approach
- Local volatility and the recovery rate of credit default swaps
- Path integration for real options
- Microstructure models with short-term inertia and stochastic volatility
- Multi-purpose binomial model: fitting all moments to the underlying geometric Brownian motion
- Closed-form optimal strategies of continuous-time options with stochastic differential equations
- Fast quadrature methods for options with discrete dividends
- New definitions of mean value and variance of fuzzy numbers: an application to the pricing of life insurance policies and real options
- On the methods of pricing American options: case study
- Pricing down-and-out power options with exponentially curved barrier
- Randomized binomial tree and pricing of American-style options
- Cubic spline method for a generalized Black-Scholes equation
- Canonical least-squares Monte Carlo valuation of American options: convergence and empirical pricing analysis
- Design of positive, negative, and alternating sign generalized logistic maps
- Super-replication with fixed transaction costs
- A new method for evaluating options based on multiquadric RBF-FD method
- Pricing of Islamic deposit insurance
- Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
- Option pricing with Mellin transforms
- Take-or-pay contract valuation under price and private uncertainty
- New measure selection for Hunt-Devolder semi-Markov regime switching interest rate models
- Fast binomial procedures for pricing Parisian/ParAsian options
- Fuzzy pay-off method for real options: the center of gravity approach with application in oilfield abandonment
- Binomial trees as dynamical systems
- Quantum finance
- On infinite-horizon minimum-cost hedging under cone constraints
- Utility based option evaluation with proportional transaction costs
- Option prices under Bayesian learning: implied volatility dynamics and predictive densities
- An algorithm for solving bond pricing problem.
- An improved simulation method for pricing high-dimensional American derivatives.
- Contingent claims on assets with conversion costs.
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