On some generalized American style derivatives

DOI10.1007/S40314-024-02625-6MaRDI QIDQ6537148FDOQ6537148

Publication date: 14 May 2024

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

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Cites Work

The pricing of options and corporate liabilities
Title not available (Why is that?)
Optimal Stopping and the American Put
Title not available (Why is that?)
Boundary crossing probability for Brownian motion and general boundaries
ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
Optimal stopping, free boundary, and American option in a jump-diffusion model
An efficient numerical method for the valuation of American multi-asset options
Optimal stopping problems for Brownian motion
A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models
A new approach for pricing discounted American options
An efficient computational algorithm for pricing European, barrier and American options
A two-grid penalty method for American options
Title not available (Why is that?)
American strangle options
Using a meshless kernel-based method to solve the Black-Scholes variational inequality of American options
Valuation of American strangle option: variational inequality approach
A note on the never-early-exercise region of American power exchange options
Laplace transforms for the first hitting time of a Brownian motion
Optimal exercise of American put options near maturity: a new economic perspective
Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
Semi-implicit FEM for the valuation of American options under the Heston model
Perpetual game options with a multiplied penalty
Values of Mills' ratio of area to bounding ordinate and of the normal probability integral for large values of the argument.

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