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• Paolo Pianca
• Antonella Basso

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Article provided by Springer in its journal Decisions in Economics and Finance.

Volume (Year): 27 (2004)
Issue (Month): 1 (08)
Pages: 35-56
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Handle: RePEc:spr:decfin:v:27:y:2004:i:1:p:35-56

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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. Ju, Nengjiu, 1998. "Pricing an American Option by Approximating Its Early Exercise Boundary as a Multipiece Exponential Function," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 11(3), pages 627-46.
2. Huang, Jing-zhi & Subrahmanyam, Marti G & Yu, G George, 1996. "Pricing and Hedging American Options: A Recursive Integration Method," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 9(1), pages 277-300. [Downloadable!] (restricted)
3. Sullivan, Michael A, 2000. "Valuing American Put Options Using Gaussian Quadrature," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 13(1), pages 75-94.
4. Barraquand, J?r?me & Martineau, Didier, 1995. "Numerical Valuation of High Dimensional Multivariate American Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(03), pages 383-405, September. [Downloadable!]
5. David S. Bunch & Herb Johnson, 2000. "The American Put Option and Its Critical Stock Price," Journal of Finance, American Finance Association, vol. 55(5), pages 2333-2356, October. [Downloadable!] (restricted)
6. Gao, Bin & Huang, Jing-zhi & Subrahmanyam, Marti, 2000. "The valuation of American barrier options using the decomposition technique," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1783-1827, October. [Downloadable!] (restricted)
   Other versions:
   • Marti G. Subrahmanyam & Bin Gao & Jing-zhi Huang, 1998. "The Valuation of American Barrier Options Using the Decomposition Technique," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-067, New York University, Leonard N. Stern School of Business-.
7. Geske, Robert & Shastri, Kuldeep, 1985. "The early exercise of American puts," Journal of Banking & Finance, Elsevier, vol. 9(2), pages 207-219, June. [Downloadable!] (restricted)

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This page was last updated on 2009-11-14.