The valuation of American options for a class of diffusion processes
From MaRDI portal
Recommendations
Cited in
(49)- Optimal portfolios for DC pension plans under a CEV model
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- Valuation of American strangles through an optimized lower-upper bound approach
- The \textit{CEV} model and its application in a study of optimal investment strategy
- The valuation of American passport options: a viscosity solution approach
- Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
- American options with stochastic dividends and volatility: a nonparametric investigation
- American options and stochastic interest rates
- Valuing American-style options under the CEV model: an integral representation based method
- Early exercise boundaries for American-style knock-out options
- A new integral equation approach for pricing American-style barrier options with rebates
- An efficient numerical method for pricing American put options under the CEV model
- CTMC integral equation method for American options under stochastic local volatility models
- The forward-path method for pricing multi-asset American-style options under general diffusion processes
- Pricing and exercising American options: an asymptotic expansion approach
- Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
- Collaboration in tool development and capacity investments in high technology manufacturing networks
- A closed-form solution to American options under general diffusion processes
- Boundary evolution equations for American options
- American Option Valuation with Particle Filters
- Pricing European options under stochastic volatilities models
- The Valuation of American Options with Stochastic Stopping Time Constraints
- American option valuation under stochastic interest rates
- scientific article; zbMATH DE number 1284287 (Why is no real title available?)
- American options with discontinuous two-level caps
- The valuation of American options in a multidimensional exponential Lévy model
- Laplace bounds approximation for American options
- Pricing European and American options under fractional model
- American Option Valuation under Continuous-Time Markov Chains
- A new method for generating approximation algorithms for financial mathematics applications
- A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes
- The American put with finite‐time maturity and stochastic interest rate
- An implicit scheme for American put options
- Valuing American options under the CEV model by Laplace-Carson transforms
- The stochastic balance equation for the American option value function and its gradient
- On the Continuity of Optimal Stopping Surfaces for Jump-Diffusions
- Pricing Options Under Time-Fractional Model Using Adomian Decomposition
- An efficient and provable sequential quadratic programming method for American and swing option pricing
- Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
- American options and callable bonds under stochastic interest rates and endogenous bankruptcy
- The valuation of American options with the stochastic liquidity risk and jump risk
- Constant elasticity of variance model for proportional reinsurance and investment strategies
- Enhancing accuracy for solving American CEV model with high-order compact scheme and adaptive time stepping
- Fifty years at the interface between financial modeling and operations research
- American options with liquidation penalties
- Deep learning of optimal exercise boundaries for American options
- Estimating State Price Densities Implied by American Options
- The early exercise boundary under the jump to default extended CEV model
- A generalized complementarity approach to solving real option problems
This page was built for publication: The valuation of American options for a class of diffusion processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3114791)
