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- An efficient numerical method for the valuation of American multi-asset options
- The American put with finite‐time maturity and stochastic interest rate
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- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
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- Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
- Variational inequalities and the pricing of American options
- Properties of American option prices
- American option prices in a Markov chain market model
- An option pricing problem with the underlying stock paying dividends
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
- A More General Valuation and Arbitrage Theory for Itô Processes
- Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
- An integer programming model for pricing American contingent claims under transaction costs
- On the pricing of American options
- The early exercise boundary under the jump to default extended CEV model
- On option pricing in models driven by iterated integrals of Brownian motion
- A sufficient condition for near-optimal stochastic controls and its application to manufacturing systems
- Volatility misspecification, option pricing and superreplication via coupling
- An analytic formula for the price of an American-style Asian option of floating strike type
- American options with stochastic dividends and volatility: a nonparametric investigation
- American put options with a finite set of exercisable time epochs
- A generalized complementarity approach to solving real option problems
- On the behaviour near expiry for multi-dimensional American options
- Valuation of the prepayment option of a perpetual corporate loan
- The application of backward stochastic differential equation with stopping time in hedging American contingent claims
- Nonparametric estimation of American options' exercise boundaries and call prices
- Optimal oil production and the world supply of oil
- The early exercise premium representation for American options on multiply assets
- On the American option-pricing model with an uncertain volatility
- Numerical pricing of financial derivatives using Jain's high-order compact scheme
- Optimal stopping problems with restricted stopping times
- Monte Carlo algorithms for optimal stopping and statistical learning
- An efficient finite element method for pricing American multi-asset put options
- American lookback option with fixed strike price-2-D parabolic variational inequality
- An extension of a theorem of K. Yamada to equations ``with memory
- An integration by parts type formula for stopping times and its application
- Residual risks and hedging strategies in Markovian markets
- Free boundary and optimal stopping problems for American Asian options
- Dividends in the theory of derivative securities pricing
- On the use of boundary conditions for variational formulations arising in financial mathematics.
- Convex duality for partial hedging of American options: continuous price processes
- Pricing European and American options under fractional model
- Semi-parametric estimation of American option prices
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
- Supermartingale decomposition theorem under \(G\)-expectation
- American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
- A network of options: evaluating complex interdependent decisions under uncertainty
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- Exercise boundary of American-style Asian option
- Optimal hedging in incomplete markets
- Pricing the American put option: A detailed convergence analysis for binomial models
- Pricing Options Under Time-Fractional Model Using Adomian Decomposition
- American options in nonlinear markets
- A new form of the early exercise premium for American type derivatives
- On the obstacle problem associated to the Kolmogorov-Fokker-Planck operator with rough coefficients
- On the lower arbitrage bound of American contingent claims
- The stochastic balance equation for the American option value function and its gradient
- Nonconvexity of the optimal exercise boundary for an American put option on a dividend-paying asset
- scientific article; zbMATH DE number 2099701 (Why is no real title available?)
- AN ANALYTICAL APPROACH TO MERTON'S RATIONAL OPTION PRICING THEORY
- scientific article; zbMATH DE number 7556299 (Why is no real title available?)
- An introduction to option pricing and the mathematical theory of risk
- scientific article; zbMATH DE number 679795 (Why is no real title available?)
- Valeur maximale d'un droit d'option a prix ferme
- scientific article; zbMATH DE number 7088115 (Why is no real title available?)
- The early exercise premium in American options by using nonparametric regressions
- G-Doob-Meyer decomposition and its applications in bid-ask pricing for derivatives under Knightian uncertainty
- An Italian perspective on the development of financial mathematics from 1992 to 2008
- Probabilistic approach to free boundary problems and pricing of American options
- A penalty method for American multi-asset option problems
- Stability analysis for pricing European options regarding the interest rate generated by the time fractional Cox-Ingersoll-Ross processes
- Perpetual American put option: an error estimator for a second order non-standard finite difference scheme
- Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options
- scientific article; zbMATH DE number 4057232 (Why is no real title available?)
- Bermudan options pricing formulas in uncertain financial markets
- Portfolios of American options under general preferences: results and counterexamples
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