On the pricing of American options
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Publication:913622
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- A stochastic calculus model of continuous trading: Complete markets
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- The pricing of options and corporate liabilities
Cited in
(only showing first 100 items - show all)- Convex order for path-dependent derivatives: a dynamic programming approach
- Hedging using simulation: a least squares approach
- scientific article; zbMATH DE number 7556299 (Why is no real title available?)
- The early exercise premium representation for American options on multiply assets
- Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
- Alternative randomization for valuing American options
- American perpetual options with random start
- Combining statistical intervals and market prices: the worst case state price distribution
- On the American Option Value Near its Exercise Region
- An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options
- The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
- Try before you buy: a theory of dynamic information acquisition
- CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL
- Convergence of the Critical Price In the Approximation of American Options
- American option prices in a Markov chain market model
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
- Variational inequalities and the pricing of American options
- The obstacle problem for a class of hypoelliptic ultraparabolic equations
- On the theory of option pricing
- WORST-CASE SCENARIOS FOR AMERICAN OPTIONS
- Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options
- The stochastic balance equation for the American option value function and its gradient
- On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
- CRITICAL STOCK PRICE NEAR EXPIRATION
- Continuously controlled options: derivatives with added flexibility
- Valuing American contingent claims when time to maturity is uncertain
- An explicit finite difference approach to the pricing problems of perpetual Bermudan options
- G-Doob-Meyer decomposition and its applications in bid-ask pricing for derivatives under Knightian uncertainty
- Nonconvexity of the optimal exercise boundary for an American put option on a dividend-paying asset
- The American put is log-concave in the log-price
- Perpetual American put options in a level-dependent volatility model
- Option pricing: A simplified approach
- American chooser options
- Free boundary and optimal stopping problems for American Asian options
- Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
- An integer programming model for pricing American contingent claims under transaction costs
- Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
- Valuing American-style options under the CEV model: an integral representation based method
- Convex duality for partial hedging of American options: continuous price processes
- Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options
- Fair valuation of participating policies with surrender options and regime switching
- Commodity spread option with cointegration
- Simulated Greeks for American options
- Pricing American options under Azzalini Ito-McKean skew Brownian motions
- Numerical methods for the pricing of swing options: a stochastic control approach
- A bridge between American and European options: the ``Ameripean delayed-exercise model
- The valuation of American call options on the minimum of two dividend-paying assets
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Comparison study on value and exercise time of options with same intrinsic value
- Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets
- Probabilistic approach to free boundary problems and pricing of American options
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
- Portfolios of American options under general preferences: results and counterexamples
- Defaultable game options in a hazard process model
- scientific article; zbMATH DE number 2033594 (Why is no real title available?)
- The representation of American options prices under stochastic volatility and jump-diffusion dynamics
- Comparison of numerical and analytical approximations of the early exercise boundary of American put options
- On the convergence from discrete to continuous time in an optimal stopping problem.
- On the solution of complementarity problems arising in American options pricing
- Pricing contingent claims in incomplete markets when the holder can choose among different payoffs.
- Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
- Arbitrage-free interval of American contingent claims under proportional transaction cost
- Variational inequalities in Hilbert spaces with measures and optimal stopping problems
- American-style derivatives. Valuation and computation.
- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- On backward stochastic differential equations approach to valuation of American options
- Pricing of the American option in discrete time under proportional transaction costs
- Optimal stopping under ambiguity in continuous time
- Pricing formulas for perpetual American options with general payoffs
- American option valuation using first-passage densities
- ON THE AMERICAN OPTION PROBLEM
- Term structure of interest rates: Discontinuous case
- A semigroup approach to American options
- American put options with a finite set of exercisable time epochs
- Nonparametric estimation of American options' exercise boundaries and call prices
- On a constant related to American type options
- On the simulation of the American option pricing process
- Mathematical models for the pricing of American call options
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- American Option Pricing Using Simulation and Regression: Numerical Convergence Results
- A generalized clark representation formula, with application to optimal portfolios
- A Note on the Pricing of American Options
- American option pricing under financial crisis
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
- The application of backward stochastic differential equation with stopping time in hedging American contingent claims
- Empirical pricing American put options
- Labor income, borrowing constraints, and equilibrium asset prices
- Error estimates for the binomial approximation of American put options
- REPLICATION OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS
- On the lower arbitrage bound of American contingent claims
- Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing
- 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
- Contingent claim valuation in a market with different interest rates
- Behavioral value adjustments
- American options in nonlinear markets
- Pricing and hedging of american contingent claims in incomplete markets
- Approximations for the values of american options
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