Randomization and the American put
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(only showing first 100 items - show all)- On perpetual American put valuation and first-passage in a regime-switching model with jumps
- Pricing perpetual American catastrophe put options: A penalty function approach
- A general framework for evaluating executive stock options
- Valuing continuous-installment options
- Perpetual options and Canadization through fluctuation theory
- Exit problems for spectrally negative Lévy processes and applications to (Canadized) Russian options
- The valuation of American barrier options using the decomposition technique
- Beating the omega clock: an optimal stopping problem with random time-horizon under spectrally negative Lévy models
- Volatility smile as relativistic effect
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- Fast Laplace transform methods for free-boundary problems of fractional diffusion equations
- On the methods of pricing American options: case study
- An integration by parts type formula for stopping times and its application
- A note on a Lévy insurance risk model under periodic dividend decisions
- Laplace transform method for pricing American CEV strangles option with two free boundaries
- On the dual risk model with Parisian implementation delays in dividend payments
- A two-step simulation procedure to analyze the exercise features of American options
- On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts.
- Numerical methods for pricing American options with time-fractional PDE models
- Direct computation for American put option and free boundary using finite difference method
- The random-time binomial model
- Analytic solution for American strangle options using Laplace-Carson transforms
- Analytically pricing double barrier options based on a time-fractional Black-Scholes equation
- Probabilistic approach to free boundary problems and pricing of American options
- An improved Barone-Adesi Whaley formula for turbulent markets
- Variable annuity with a surrender option under multiscale stochastic volatility
- Moments and polynomial expansions in discrete matrix-analytic models
- On the randomized Schmitter problem
- Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
- Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory
- The Leland-Toft optimal capital structure model under Poisson observations
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
- CTMC integral equation method for American options under stochastic local volatility models
- On barrier option pricing by Erlangization in a regime-switching model with jumps
- Efficient valuation of a variable annuity contract with a surrender option
- Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs
- Pricing and exercising American options: an asymptotic expansion approach
- Markets with random lifetimes and private values: mean reversion and option to trade
- A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes
- Move-based hedging of variable annuities: a semi-analytic approach
- Financial options pricing with regime-switching jump-diffusions
- Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation
- CEV asymptotics of American options
- An adaptive premium policy with a Bayesian motivation in the classical risk model
- Numerical techniques in Lévy fluctuation theory
- Valuing finite-lived Russian options
- Finite expiry Russian options
- Maturity randomization for stochastic control problems
- Financial valuation of guaranteed minimum withdrawal benefits
- Optimal exit strategies for investment projects
- On the expected discounted dividends in the Cramér-Lundberg risk model with more frequent ruin monitoring than dividend decisions
- Russian and American put options under exponential phase-type Lévy models.
- On convergence of a semi-analytical method for American option pricing
- Randomisation and recursion methods for mixed-exponential Lévy models, with financial applications
- An Euler-Poisson scheme for Lévy driven stochastic differential equations
- Time-randomized stopping problems for a family of utility functions
- Portfolio Choice with Transaction Costs: A User’s Guide
- A closed-form solution to American options under general diffusion processes
- Mortgage valuation: a quasi-closed-form solution
- Z-Transform and preconditioning techniques for option pricing
- On the analytical/numerical pricing of American put options against binomial tree prices
- On the binomial tree method and other issues in connection with pricing Bermudan and American options
- ESO valuation with job termination risk and jumps in stock price
- An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
- An iterative procedure for solving integral equations related to optimal stopping problems
- Double barrier options in regime-switching hyper-exponential jump-diffusion models
- On the perpetual American put options for level dependent volatility models with jumps
- American options in the Heston model with stochastic interest rate and its generalizations
- SHOULD AN AMERICAN OPTION BE EXERCISED EARLIER OR LATER IF VOLATILITY IS NOT ASSUMED TO BE A CONSTANT?
- Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models
- Wavelet Galerkin pricing of American options on Lévy driven assets
- Prices and sensitivities of barrier and first-touch digital options in Lévy-driven models
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
- Pricing Israeli options: a pathwise approach
- CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA
- Exercisability Randomization of the American Option
- Alternative randomization for valuing American options
- Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree
- A new integral equation formulation for American put options
- Periodic threshold-type dividend strategy in the compound Poisson risk model
- Perpetual American options with fractional Brownian motion
- Early exercise boundary and option prices in Lévy driven models
- Parisian options with jumps: a maturity-excursion randomization approach
- PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
- An insurance risk model with Parisian implementation delays
- Valuation of continuously monitored double barrier options and related securities
- American options under stochastic volatility: control variates, maturity randomization \& multiscale asymptotics
- A simple Wiener-Hopf factorization approach for pricing double-barrier options
- Laplace bounds approximation for American options
- Optimal periodic replenishment policies for spectrally positive Lévy demand processes
- Pricing and hedging american options analytically: a perturbation method
- Discrete dividends and the FTSE-100 index options valuation
- American Option Valuation under Continuous-Time Markov Chains
- Efficient pricing of swing options in Lévy-driven models
- A simple iterative method for the valuation of American options
- A Dynkin game with asymmetric information
- A spectral-collocation method for pricing perpetual American puts with stochastic volatility
- An exact and explicit solution for the valuation of American put options
- Pricing perpetual American options under a stochastic-volatility model with fast mean reversion
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
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