On the pricing of American options
From MaRDI portal
Publication:913622
Recommendations
Cites work
- scientific article; zbMATH DE number 3740439 (Why is no real title available?)
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 3223983 (Why is no real title available?)
- A stochastic calculus model of continuous trading: Complete markets
- Martingales and stochastic integrals in the theory of continuous trading
- Mathematics of Speculative Price
- On optimal stopping and free boundary problems
- On the theory of option pricing
- Optimal Stopping Rules for Stochastic Processes with Continuous Parameter
- Optimal Stopping of a Markov Process
- Temps d'arrÊt optimal, théorie générale des processus et processus de Markov
- The pricing of options and corporate liabilities
Cited in
(only showing first 100 items - show all)- An optimal stopping problem with a reward constraint
- Pricing and exercising American options: an asymptotic expansion approach
- American prices embedded in European prices
- Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing
- CHANGE OF NUMÉRAIRE AND AMERICAN OPTIONS
- Convex order for path-dependent derivatives: a dynamic programming approach
- Hedging using simulation: a least squares approach
- American options in nonlinear markets
- Optimal trading of stock options under alternative strategy
- Early exercise boundaries for American-style knock-out options
- Commodity spread option with cointegration
- A survey on American options: old approaches and new trends
- American chooser options
- Approximate ordinary differential equations for the optimal exercise boundaries of American put and call options
- On the simulation of the American option pricing process
- The early exercise boundary under the jump to default extended CEV model
- CRITICAL PRICE NEAR MATURITY FOR AN AMERICAN OPTION ON A DIVIDEND‐PAYING STOCK IN A LOCAL VOLATILITY MODEL
- A semigroup approach to American options
- Nonconvexity of the optimal exercise boundary for an American put option on a dividend-paying asset
- An explicit finite difference approach to the pricing problems of perpetual Bermudan options
- Comparison of numerical and analytical approximations of the early exercise boundary of American put options
- American put options with a finite set of exercisable time epochs
- Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
- A Note on the Pricing of American Options
- Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model
- A Martingale Representation Result and an Application to Incomplete Financial Markets
- American option pricing under financial crisis
- American step options
- Pricing contingent claims in incomplete markets when the holder can choose among different payoffs.
- A unified framework for stochastic optimization
- Recombining tree approximations for optimal stopping for diffusions
- The pricing problem for a class of permanent American option
- Long-term optimal portfolios with floor
- Perpetual American put options in a level-dependent volatility model
- American option valuation using first-passage densities
- Primal-dual active-set method for solving the unilateral pricing problem of American better-of options on two assets
- A bridge between American and European options: the ``Ameripean delayed-exercise model
- Probabilistic approach to free boundary problems and pricing of American options
- Valuing American contingent claims when time to maturity is uncertain
- A penalty method for American multi-asset option problems
- ATTAINABLE CLAIMS IN A MARKOV MARKET
- Synthetic replication of American contingent claims when portfolios are constrained
- Supermartingale decomposition theorem under \(G\)-expectation
- American options with discontinuous two-level caps
- American put option with regime‐switching volatility (finite time horizon)—Variational inequality approach
- The American put is log-concave in the log-price
- Alternative randomization for valuing American options
- Exercise boundary of American-style Asian option
- Bermudan options pricing formulas in uncertain financial markets
- Portfolios of American options under general preferences: results and counterexamples
- On the solution of complementarity problems arising in American options pricing
- Error estimates for the binomial approximation of American put options
- Fair valuation of participating policies with surrender options and regime switching
- Hedging American contingent claims with arbitrage costs
- Empirical pricing American put options
- Optimal portfolio for a small investor in a market model with discontinuous prices
- Variational inequalities in Hilbert spaces with measures and optimal stopping problems
- Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options
- PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
- The valuation of American options for a class of diffusion processes
- Critical price near maturity for an American option on a dividend-paying stock.
- Estimation of Integrated Volatility in Continuous-Time Financial Models with Applications to Goodness-of-Fit Testing
- The American put with finite‐time maturity and stochastic interest rate
- scientific article; zbMATH DE number 1279074 (Why is no real title available?)
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- scientific article; zbMATH DE number 2042577 (Why is no real title available?)
- A self-exciting threshold jump-diffusion model for option valuation
- Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach
- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- Reflected solutions of backward stochastic differential equations driven by \(G\)-Brownian motion
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
- Bayesian dividend optimization and finite time ruin probabilities
- On the convergence from discrete to continuous time in an optimal stopping problem.
- Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
- 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
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
- On the theory of option pricing
- American options: the EPV pricing model
- Valuing American-style options under the CEV model: an integral representation based method
- 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
- American-style derivatives. Valuation and computation.
- On the pricing of options written on the last exit time
- Evaluation of American strangles
- Pricing and hedging of american contingent claims in incomplete markets
- CRITICAL STOCK PRICE NEAR EXPIRATION
- The obstacle problem for a class of hypoelliptic ultraparabolic equations
- Volatility misspecification, option pricing and superreplication via coupling
- scientific article; zbMATH DE number 796440 (Why is no real title available?)
- Continuously controlled options: derivatives with added flexibility
- 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
- A generalized complementarity approach to solving real option problems
- Total risk aversion and the pricing of options
- Strict local martingale deflators and valuing American call-type options
- Labor income, borrowing constraints, and equilibrium asset prices
- Approximations for the values of american options
This page was built for publication: On the pricing of American options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q913622)
