On the pricing of American options
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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
- Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
- scientific article; zbMATH DE number 2033594 (Why is no real title available?)
- Mathematical models for the pricing of American call options
- A digitalized employee option
- On the American Option Value Near its Exercise Region
- Early Exercise Boundary for American Type of Floating Strike Asian Option and Its Numerical Approximation
- Try before you buy: a theory of dynamic information acquisition
- American perpetual options with random start
- On a constant related to American type options
- A construction of admissible strategies for American options associated with piecewise continuous processes
- On the American style futures contracts
- Pricing formulas for perpetual American options with general payoffs
- On the lower arbitrage bound of American contingent claims
- Time consistent pricing of options with embedded decisions
- Combining statistical intervals and market prices: the worst case state price distribution
- The stochastic balance equation for the American option value function and its gradient
- Simulated Greeks for American options
- Pricing American options under Azzalini Ito-McKean skew Brownian motions
- Integral equation formulation for shout options
- Comparison study on value and exercise time of options with same intrinsic value
- Behavioral value adjustments
- Arbitrage-free interval of American contingent claims under proportional transaction cost
- REPLICATION OF AMERICAN CONTINGENT CLAIMS IN INCOMPLETE MARKETS
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- 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
- The Valuation of American Options with Stochastic Stopping Time Constraints
- Valuation of the American put option as a free boundary problem through a high-order difference scheme
- On perpetual American options in a multidimensional Black-Scholes model
- On American Derivatives and Related Obstacle Problems
- Term structure of interest rates: Discontinuous case
- Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options
- 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?)
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