Option pricing: A simplified approach

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ANALYSIS ⋮ THE ENTROPY THEORY OF BOND OPTION PRICING ⋮ DISTRIBUTION-BASED OPTION PRICING ON LATTICE ASSET DYNAMICS MODELS ⋮ A portfolio-based evaluation of affine term structure models ⋮ Pricing of perpetual American and Bermudan options by binomial tree method ⋮ Linear-time option pricing algorithms by combinatorics ⋮ A mathematical model for the bond market. ⋮ The concavity of the payoff function of a swing option in a binomial model ⋮ The weak convergence of Greek symbols for prices of European options: from discrete time to continuous ⋮ Pricing of Path-Dependent European-Type Options Using Monte Carlo Simulation ⋮ Integrating stochastic programming and decision tree techniques in land conversion problems ⋮ Analytical binomial lookback options with double-exponential jumps ⋮ A multinomial tree model for pricing credit default swap options ⋮ A NONLINEAR SUPER-EXPONENTIAL RATIONAL MODEL OF SPECULATIVE FINANCIAL BUBBLES ⋮ A tree approach to options pricing under regime-switching jump diffusion models ⋮ A framework for robust measurement of implied correlation ⋮ Efficient pricing of Bermudan options using recombining quadratures ⋮ Pricing catastrophe options in discrete operational time ⋮ On the no-arbitrage condition in option implied trees ⋮ Stochastic approximation methods for American type options ⋮ A Series Solution for Bermudan Options ⋮ Assessment and propagation of input uncertainty in tree-based option pricing models ⋮ Unnamed Item ⋮ Pricing Asian Options and Equity-Indexed Annuities with Regime Switching by the Trinomial Tree Method ⋮ Option convergence rate with geometric random walks approximations ⋮ Barrier option pricing: a hybrid method approach ⋮ Unnamed Item ⋮ Decision making for integrating a securities firm with a financial holding company: comparison between the NPV method and the binomial option approach ⋮ A simple computational model for analyzing the properties of stop-loss, take-profit, and price breakout trading strategies ⋮ Bivariate option pricing using dynamic copula models ⋮ Bounds for the price of a European-style Asian option in a binary tree model ⋮ A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS ⋮ Option valuation by using discrete singular convolution ⋮ A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS ⋮ Monte Carlo methods for pricing financial options ⋮ Efficient Pricing of Derivatives on Assets with Discrete Dividends ⋮ An efficient convergent lattice algorithm for European Asian options ⋮ ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS ⋮ Multiperiod portfolio optimization with terminal liability: bounds for the convex case ⋮ A framework algorithm to compute optimal asset allocation for retirement with behavioral utilities ⋮ Finite volume methods for the valuation of American options ⋮ Endogenous model of surrender conditions in equity-linked life insurance ⋮ A EUROPEAN OPTION GENERAL FIRST-ORDER ERROR FORMULA ⋮ A closed-form solution to American options under general diffusion processes ⋮ Pricing dynamic binary variables and their derivatives ⋮ Integer-valued Lévy processes and low latency financial econometrics ⋮ UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS ⋮ CONVERGENCE OF EUROPEAN LOOKBACK OPTIONS WITH FLOATING STRIKE IN THE BINOMIAL MODEL ⋮ BOUNDARY EVOLUTION EQUATIONS FOR AMERICAN OPTIONS ⋮ Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities ⋮ Pricing American options written on two underlying assets ⋮ AN INFINITESIMAL ANALYSIS OF THE STOP-LOSS-START-GAIN STRATEGY ⋮ Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions ⋮ On accurate and provably efficient GARCH option pricing algorithms ⋮ Valuing employee reload options under the time vesting requirement ⋮ A General Benchmark Model for Stochastic Jump Sizes ⋮ LATTICE OPTION PRICING BY MULTIDIMENSIONAL INTERPOLATION ⋮ Pricing Guaranteed Life Insurance Participating Policies with Annual Premiums and Surrender Option ⋮ Executive Stock Options ⋮ Hedging Equity-Linked Life Insurance Contracts ⋮ Bayesian Risk Measures for Derivatives via Random Esscher Transform ⋮ Interest Rate Risk Management ⋮ Two Paradigms for The Market Value of Liabilities ⋮ Economic Valuation Models for Insurers ⋮ American option prices in a Markov chain market model ⋮ OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS ⋮ Ein Modell zur Bewertung von PCS-Optionen ⋮ Implied non-recombining trees and calibration for the volatility smile ⋮ Diffusion Equations: Convergence of the Functional Scheme Derived from the Binomial Tree with Local Volatility for Non Smooth Payoff Functions ⋮ Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model ⋮ Corrected random walk approximations to free boundary problems in optimal stopping ⋮ Fair valuation of insurance liabilities via mean-variance hedging in a multi-period setting ⋮ A new method for generating approximation algorithms for financial mathematics applications ⋮ Truncation and acceleration of the Tian tree for the pricing of American put options ⋮ Discrete-time continuous-state interest rate models ⋮ Claim pricing and hedging under market incompleteness and ``mean-variance preferences ⋮ On the existence of an efficient hedge for an American contingent claim within a discrete time market ⋮ An Improved Binomial Lattice Method for Multi‐Dimensional Options ⋮ Real (investment) options with multiple sources of rare events ⋮ A hybrid option pricing model using a neural network for estimating volatility ⋮ A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes ⋮ CHARACTERIZATION OF OPTIMAL STOPPING REGIONS OF AMERICAN ASIAN AND LOOKBACK OPTIONS ⋮ PRICING AND HEDGING AMERICAN BARRIER OPTIONS BY A MODIFIED BINOMIAL METHOD ⋮ An exact and explicit solution for the valuation of American put options ⋮ OPTION PRICING FOR GARCH MODELS WITH MARKOV SWITCHING ⋮ Fair Valuation of Various Participation Schemes in Life Insurance ⋮ ANALYTIC BACKWARD INDUCTION OF OPTION CASH FLOWS: A NEW APPLICATION PARADIGM FOR THE MARKOVIAN INTEREST RATE MODELS ⋮ IMPLIED VOLATILITY TREES AND PRICING PERFORMANCE: EVIDENCE FROM THE S&P 100 OPTIONS ⋮ Book Review: Stochastic calculus for finance