A novel approach to the valuation of American options
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Global Finance Journal.
Volume (Year): 13 (2002)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.elsevier.com/locate/inca/620162
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- S. D. Jacka, 1991. "Optimal Stopping and the American Put," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 1(2), pages 1-14.
- Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 21(8-9), pages 1267-1321, June.
- Broadie, Mark & Detemple, Jerome, 1996. "American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 9(4), pages 1211-50.
- Huang, Jing-zhi & Subrahmanyam, Marti G & Yu, G George, 1996. "Pricing and Hedging American Options: A Recursive Integration Method," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 9(1), pages 277-300.
- Walter Allegretto & Giovanni Barone-Adesi & Robert Elliott, 1995. "Numerical evaluation of the critical price and American options," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 1(1), pages 69-78.
- Brennan, Michael J & Schwartz, Eduardo S, 1977. "The Valuation of American Put Options," Journal of Finance, American Finance Association, American Finance Association, vol. 32(2), pages 449-62, May.
- Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
- Geske, Robert & Johnson, Herb E, 1984. " The American Put Option Valued Analytically," Journal of Finance, American Finance Association, American Finance Association, vol. 39(5), pages 1511-24, December.
- Barone-Adesi, Giovanni & Whaley, Robert E, 1987. " Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, American Finance Association, vol. 42(2), pages 301-20, June.
- Johnson, H. E., 1983. "An Analytic Approximation for the American Put Price," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 18(01), pages 141-148, March.
- David S. Bunch & Herb Johnson, 2000. "The American Put Option and Its Critical Stock Price," Journal of Finance, American Finance Association, American Finance Association, vol. 55(5), pages 2333-2356, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.