Evaluation of American strangles
DOI10.1016/J.JEDC.2003.04.010zbMATH Open1202.91315OpenAlexW2055787797MaRDI QIDQ953735FDOQ953735
Publication date: 6 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10453/5117
Recommendations
- Evaluation of age-specific vaccination strategies
- Evaluation of vaccination strategies during pandemic outbreaks
- Estimating strain-specific and overall efficacy of polyvalent vaccines against recurrent pathogens from a cross-sectional study
- Hypotheses tests of strain-specific vaccine efficacy adjusted for covariate effects
- A simple analysis of vaccination strategies for rubella
- A unified evaluation of differential vaccine efficacy
- Multiseason transmission for Rift Valley fever in North America
- Estimating the True Incidence of Rubella
- scientific article; zbMATH DE number 1944167
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Free boundary problems for PDEs (35R35) Systems of nonsingular linear integral equations (45F05)
Cites Work
- The pricing of options and corporate liabilities
- Optimal Stopping and the American Put
- Title not available (Why is that?)
- On the pricing of American options
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- On optimal stopping and free boundary problems
- An optimal stopping problem with linear reward
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
- Title not available (Why is that?)
- Free boundary problem for the heat equation with applications to problems of change of phase. I. General method of solution
- Laplace transforms and the American straddle
Cited In (21)
- Lattice methods for pricing American strangles with two-dimensional stochastic volatility models
- LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS
- The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost
- American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
- Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon
- Analytical pricing of American options
- American chooser options
- Valuation of American strangle option: variational inequality approach
- MATHEMATICAL PROPERTIES OF AMERICAN CHOOSER OPTIONS
- Pricing variable annuity with surrender guarantee
- American option pricing under stochastic volatility: an efficient numerical approach
- Stabilized explicit Runge-Kutta methods for multi-asset American options
- A method-of-lines approach for solving American option problems
- Valuation of American strangles through an optimized lower-upper bound approach
- American continuous-installment options of barrier type
- Minimum return guarantees with fund switching rights -- an optimal stopping problem
- Laplace transform method for pricing American CEV strangles option with two free boundaries
- American Strangle Options
- Analytic solution for American strangle options using Laplace-Carson transforms
- An integral equation approach for optimal investment policies with partial reversibility
- On the American style futures contracts
This page was built for publication: Evaluation of American strangles
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q953735)
