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American options: the EPV pricing model

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Author Info
Svetlana Boyarchenko ()
Sergei Levendorskii ()

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10436-004-0010-7
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Publisher Info
Article provided by Springer in its journal Annals of Finance.

Volume (Year): 1 (2005)
Issue (Month): 3 (08)
Pages: 267-292
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Handle: RePEc:kap:annfin:v:1:y:2005:i:3:p:267-292

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Web page: http://www.springerlink.com/link.asp?id=112370

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Related research
Keywords: Levy processes Option pricing Dividend paying assets C61 D81 G12

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References listed on IDEAS
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.:
  1. Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George, 2002. "Alternative Models for Stock Price Dynamic," Working Papers 02-03, Duke University, Department of Economics. [Downloadable!]
    Other versions:
  2. Bianca Hilberink & L.C.G. Rogers, 2002. "Optimal capital structure and endogenous default," Finance and Stochastics, Springer, vol. 6(2), pages 237-263. [Downloadable!] (restricted)
  3. Chernov, Mikhail & Ronald Gallant, A. & Ghysels, Eric & Tauchen, George, 2003. "Alternative models for stock price dynamics," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 225-257. [Downloadable!] (restricted)
  4. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring. [Downloadable!] (restricted)
  5. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April. [Downloadable!]
  6. Svetlana Boyarchenko, 2004. "Irreversible Decisions and Record-Setting News Principles," American Economic Review, American Economic Association, vol. 94(3), pages 557-568, June. [Downloadable!] (restricted)
  7. Sergey Levendorskiy & Svetlana Boyarchenko, 2004. "Practical guide to real options in discrete time," Computing in Economics and Finance 2004 137, Society for Computational Economics. [Downloadable!]
    Other versions:
  8. Bates, David S., 2003. "Empirical option pricing: a retrospection," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 387-404. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, 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.)

  1. Svetlana Boyarchenko & Sergey Levendorskiy, 2004. "Optimal stopping made easy," Finance 0410016, EconWPA. [Downloadable!]
    Other versions:
  2. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "A theory of endogenous time preference, and discounted utility anomalies," Microeconomics 0506005, EconWPA. [Downloadable!]
  3. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "General option exercise rules, with applications to embedded options and monopolistic expansion," Finance 0511001, EconWPA. [Downloadable!]
    Other versions:
  4. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, EconWPA, revised 17 Nov 2005. [Downloadable!]
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This page was last updated on 2008-8-11.

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