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Cites work
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Cited in
(only showing first 100 items - show all)- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- Defaultable game options in a hazard process model
- On the pricing of options written on the last exit time
- The pricing of the American option
- Optimal trading of stock options under alternative strategy
- Volatility misspecification, option pricing and superreplication via coupling
- Error estimates for the binomial approximation of American put options
- Labor income, borrowing constraints, and equilibrium asset prices
- Pricing of the American option in discrete time under proportional transaction costs
- Pricing contingent claims in incomplete markets when the holder can choose among different payoffs.
- Critical price near maturity for an American option on a dividend-paying stock.
- The valuation of American call options on the minimum of two dividend-paying assets
- Nonparametric estimation of American options' exercise boundaries and call prices
- Commodity spread option with cointegration
- Supermartingale decomposition theorem under \(G\)-expectation
- Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
- A unified framework for stochastic optimization
- Strict local martingale deflators and valuing American call-type options
- Long-term optimal portfolios with floor
- An optimal stopping problem with a reward constraint
- A semigroup approach to American options
- Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing
- Pricing and hedging of american contingent claims in incomplete markets
- On the use of boundary conditions for variational formulations arising in financial mathematics.
- Synthetic replication of American contingent claims when portfolios are constrained
- American put options with a finite set of exercisable time epochs
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- Optimal stopping under ambiguity in continuous time
- Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model
- American options with stochastic dividends and volatility: a nonparametric investigation
- Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
- Probabilistic approach to free boundary problems and pricing of American options
- American options in nonlinear markets
- Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets
- Bermudan options pricing formulas in uncertain financial markets
- Valuing American-style options under the CEV model: an integral representation based method
- Time consistent pricing of options with embedded decisions
- Early exercise boundaries for American-style knock-out options
- American perpetual options with random start
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
- American chooser options
- American step options
- Combining statistical intervals and market prices: the worst case state price distribution
- Try before you buy: a theory of dynamic information acquisition
- G-Doob-Meyer decomposition and its applications in bid-ask pricing for derivatives under Knightian uncertainty
- Pricing and exercising American options: an asymptotic expansion approach
- Exercise boundary of American-style Asian option
- Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
- Hedging American contingent claims with arbitrage costs
- Properties of American option prices
- On the regularity of the free boundary in the parabolic obstacle problem. Application to American options
- Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
- The early exercise premium representation for American options on multiply assets
- Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
- The American put is log-concave in the log-price
- Valuation of the American put option as a free boundary problem through a high-order difference scheme
- Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
- American option valuation using first-passage densities
- Portfolios of American options under general preferences: results and counterexamples
- Empirical pricing American put options
- Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- American Option Pricing Using Simulation and Regression: Numerical Convergence Results
- Arbitrage-free interval of American contingent claims under proportional transaction cost
- Comparison of numerical and analytical approximations of the early exercise boundary of American put options
- A construction of admissible strategies for American options associated with piecewise continuous processes
- On the solution of complementarity problems arising in American options pricing
- On backward stochastic differential equations approach to valuation of American options
- On a constant related to American type options
- The valuation of American options for a class of diffusion processes
- CRITICAL STOCK PRICE NEAR EXPIRATION
- ATTAINABLE CLAIMS IN A MARKOV MARKET
- Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options
- A generalized clark representation formula, with application to optimal portfolios
- Approximations for the values of american options
- Valuing American contingent claims when time to maturity is uncertain
- Comparison study on value and exercise time of options with same intrinsic value
- The pricing problem for a class of permanent American option
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
- The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
- A digitalized employee option
- A self-exciting threshold jump-diffusion model for option valuation
- American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
- WORST-CASE SCENARIOS FOR AMERICAN OPTIONS
- REPLICATION OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS
- On the simulation of the American option pricing process
- Alternative randomization for valuing American options
- On the American Option Value Near its Exercise Region
- The Valuation of American Options with Stochastic Stopping Time Constraints
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- Term structure of interest rates: Discontinuous case
- scientific article; zbMATH DE number 1279074 (Why is no real title available?)
- Some mathematical results in the pricing of American options
- An integer programming model for pricing American contingent claims under transaction costs
- scientific article; zbMATH DE number 679795 (Why is no real title available?)
- Optimal Stopping and the American Put
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Pricing Options On Risky Assets In A Stochastic Interest Rate Economy1
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