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The Valuation of American Put Options

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Author Info
Brennan, Michael J
Schwartz, Eduardo S
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File URL: http://links.jstor.org/sici?sici=0022-1082%28197705%2932%3A2%3C449%3ATVOAPO%3E2.0.CO%3B2-H&origin=repec
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Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 32 (1977)
Issue (Month): 2 (May)
Pages: 449-62
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Handle: RePEc:bla:jfinan:v:32:y:1977:i:2:p:449-62

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  1. Leisen, Dietmar, 1996. "Pricing the American Put Option: A Detailed Convergence Analysis for Binomial Models," Discussion Paper Serie B 366, University of Bonn, Germany, revised Jul 1996. [Downloadable!]
  2. Carl Chiarella & Adam Kucera & Andrew Ziogas, 2004. "A Survey of the Integral Representation of American Option Prices," Research Paper Series 118, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  3. Frank Milne & Dilip Madan, 1991. "Option Pricing With V. G. Martingale Components," Working Papers 1159, Queen's University, Department of Economics. [Downloadable!]
  4. B. S. Balakrishna, 1996. "Analytic Representations and Approximations to American Option Pricing," Finance 9602002, EconWPA, revised 05 Mar 1996. [Downloadable!]
  5. Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès, 1996. "American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation," CIRANO Working Papers 96s-26, CIRANO. [Downloadable!]
    Other versions:
  6. Massimo Costabile & Arturo Leccadito & Ivar Massabó, 2009. "Computationally simple lattice methods for option and bond pricing," Decisions in Economics and Finance, Springer, vol. 32(2), pages 161-181, November. [Downloadable!] (restricted)
  7. Song-Ping Zhu, 2006. "An exact and explicit solution for the valuation of American put options," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 229-242, June. [Downloadable!] (restricted)
  8. Marc Chesney, Jean Lefoll, 1996. "Predicting premature exercise of an American put on stocks: theory and empirical evidence," European Journal of Finance, Taylor and Francis Journals, vol. 2(1), pages 21-39, March. [Downloadable!] (restricted)
  9. Gerald Buetow, Jr. & Joseph Albert, 1998. "The Pricing of Embedded Options in Real Estate Lease Contracts," Journal of Real Estate Research, American Real Estate Society, vol. 15(3), pages 253-266. [Downloadable!]
  10. Collan, Mikael, 2004. "Giga-Investments: Modelling the Valuation of Very Large Industrial Real Investments," MPRA Paper 4328, University Library of Munich, Germany. [Downloadable!]
  11. Li, Minqiang, 2009. "A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes," MPRA Paper 17348, University Library of Munich, Germany. [Downloadable!]
  12. Carl Chiarella & Andrew Ziogas, 2002. "Evaluation of American Strangles," Computing in Economics and Finance 2002 28, Society for Computational Economics. [Downloadable!]
    Other versions:
  13. Yoshifumi Muroi & Takashi Yamada, 2006. "Pricing problems of perpetual Bermudan options," Computing in Economics and Finance 2006 345, Society for Computational Economics. [Downloadable!]
  14. Roland Mallier & Ghada Alobaidi, 2000. "Laplace transforms and American options," Applied Mathematical Finance, Taylor and Francis Journals, vol. 7(4), pages 241-256, December. [Downloadable!] (restricted)
  15. Cheng Lee & Gwo-Hshiung Tzeng & Shin-Yun Wang, 2005. "A Fuzzy Set Approach for Generalized CRR Model: An Empirical Analysis of S&P 500 Index Options," Review of Quantitative Finance and Accounting, Springer, vol. 25(3), pages 255-275, November. [Downloadable!] (restricted)
  16. Mark Broadie & Jérôme B. Detemple, 1996. "American Options on Dividend-Paying Assets," CIRANO Working Papers 96s-16, CIRANO. [Downloadable!]
  17. Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO. [Downloadable!]
  18. Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès, 1996. "Nonparametric Estimation of American Options Exercise Boundaries and Call Prices," CIRANO Working Papers 96s-24, CIRANO. [Downloadable!]
    Other versions:
  19. Manuel Moreno & Javier R. Navas, 2001. "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives," Economics Working Papers 543, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    Other versions:
  20. Yoshifumi Muroi & Takashi Yamada, 2008. "An Explicit Finite Difference Approach to the Pricing Problems of Perpetual Bermudan Options," Asia-Pacific Financial Markets, Springer, vol. 15(3), pages 229-253, December. [Downloadable!] (restricted)
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