ON THE AMERICAN OPTION PROBLEM
From MaRDI portal
Publication:5464339
Recommendations
- Probabilistic solution of the American options
- On the pricing of American options
- On the valuation of American options
- American option pricing problem transformed on finite interval
- On the solution of complementarity problems arising in American options pricing
- A Note on the Pricing of American Options
- The efficient hedging problem for American options
- The pricing of the American option
- Some mathematical results in the pricing of American options
Cites work
Cited in
(98)- An integral representation and computation for the solution of American options
- Diffusion transformations, Black-Scholes equation and optimal stopping
- Portfolio selection with consumption ratcheting
- Optimal entry to an irreversible investment plan with non convex costs
- Multidimensional investment problem
- On the free boundary of an annuity purchase
- Convexity of the optimal stopping boundary for the American put option
- Smooth pasting as rate of return equalization
- Fair valuation of Lévy-type drawdown-drawup contracts with general insured and penalty functions
- On optimal stopping of multidimensional diffusions
- On Chernoff's test for a fractional Brownian motion
- A note on the nonlinear Volterra integral equation for the early exercise boundary
- Finite horizon portfolio selection problems with stochastic borrowing constraints
- Nash equilibria in a class of Markov stopping games with total reward criterion
- Quickest real-time detection of a Brownian coordinate drift
- Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters
- Detecting the presence of a random drift in Brownian motion
- Valuing American-style options under the CEV model: an integral representation based method
- Degeneracy results for fully nonlinear integral operators
- On the integral relationship between the early exercise boundary and the value function of the American put option
- A remark on the heat equation with a point perturbation, the Feynman-Kac formula with local time and derivative pricing
- An integral equation for Root's barrier and the generation of Brownian increments
- Calculating the American options in the default model
- Integral equations for Rost's reversed barriers: existence and uniqueness results
- Optimal mean-reverting spread trading: nonlinear integral equation approach
- Finite expiry Russian options
- Local time-space stochastic calculus for Lévy processes
- A change-of-variable formula with local time on curves
- Optimal real-time detection of a drifting Brownian coordinate
- An optimal sequential procedure for determining the drift of a Brownian motion among three values
- The generalized Cauchy problem for the price of an American put option.
- Bayesian sequential testing of the drift of a Brownian motion
- Time-randomized stopping problems for a family of utility functions
- Optimal liquidation of an asset under drift uncertainty
- American options with guarantee -- a class of two-sided stopping problems
- On the lookback option with fixed strike
- Characterization of the American put option using convexity
- The British put option
- An iterative procedure for solving integral equations related to optimal stopping problems
- THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS
- On the solution of complementarity problems arising in American options pricing
- An integral equation for American put options on assets with general dividend processes
- On a constant related to American type options
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
- The American put option in a one-dimensional diffusion model with level-dependent volatility
- Exercisability Randomization of the American Option
- Semimartingale local time and the American put option
- Perpetual Bermudan Continuity Corrections and a Multi-Dimensional Wiener–Hopf Type Result
- Optimal Stopping and the American Put
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Regularity of the American put option in the Black-Scholes model with general discrete dividends
- scientific article; zbMATH DE number 1475710 (Why is no real title available?)
- Optimal surrender strategies for equity-indexed annuity investors with partial information
- The early exercise premium in American options by using nonparametric regressions
- Sequential testing problems for Bessel processes
- On the American swaption in the linear-rational framework
- Mathematical properties of American chooser options
- The efficient hedging problem for American options
- scientific article; zbMATH DE number 852303 (Why is no real title available?)
- Two-sided disorder problem for a Brownian motion in a Bayesian setting
- Closed form optimal exercise boundary of the American put option
- Exact and approximate Nash equilibria in discounted Markov stopping games with terminal redemption
- A Bayesian sequential test for the drift of a fractional Brownian motion
- On an irreversible investment problem with two-factor uncertainty
- Discounted optimal stopping problems in continuous hidden Markov models
- Optimal stopping for the exponential of a Brownian bridge
- American strangle options
- On the optimal exercise boundaries of swing put options
- American Option Valuation under Continuous-Time Markov Chains
- Corrected random walk approximations to free boundary problems in optimal stopping
- Pathwise uniqueness of the squared Bessel and CIR processes with skew reflection on a deterministic time dependent curve
- On American Derivatives and Related Obstacle Problems
- The British call option
- The representation of American options prices under stochastic volatility and jump-diffusion dynamics
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
- The American put with finite‐time maturity and stochastic interest rate
- Finite horizon sequential detection with exponential penalty for the delay
- Optimal execution with multiplicative price impact and incomplete information on the return
- A new integral equation for Brownian stopping problems with finite time horizon
- An analytic formula for the price of an American-style Asian option of floating strike type
- The stochastic balance equation for the American option value function and its gradient
- On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions
- Diffusion spiders: Green kernel, excessive functions and optimal stopping
- Optimal stopping problem in a model with compensated refusal of reward
- Optimal selling of an asset under incomplete information
- Uncertainty over uncertainty in environmental policy adoption: Bayesian learning of unpredictable socioeconomic costs
- Quickest real-time detection of multiple Brownian drifts
- Continuity of the optimal stopping boundary for two-dimensional diffusions
- An optimal stopping problem for reflecting Brownian motions
- A novel idea to solve optimal stopping problem with finite time horizon and its application in American put
- Numerical approaches to finite-horizon optimal stopping problems for the Shiryaev process
- Optimal stopping of Gauss-Markov bridges
- Optimal stopping zero-sum games in continuous hidden Markov models
- On the optimal stopping of randomized Gauss-Markov bridges
- Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
- The inverse volatility problem for American options
- The Wiener disorder problem with finite horizon
- The trap of complacency in predicting the maximum
This page was built for publication: ON THE AMERICAN OPTION PROBLEM
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5464339)
