A two-step simulation procedure to analyze the exercise features of American options
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Bibliographic InfoArticle provided by Springer in its journal Decisions in Economics and Finance.
Volume (Year): 27 (2004)
Issue (Month): 1 (08)
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Web page: http://link.springer.de/link/service/journals/10203/index.htm
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- Sullivan, Michael A, 2000. "Valuing American Put Options Using Gaussian Quadrature," Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 75-94.
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- 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, vol. 9(1), pages 277-300.
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
- 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-.
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- Peter Carr & Robert Jarrow & Ravi Myneni, 1992. "Alternative Characterizations Of American Put Options," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 87-106.
- Walter Allegretto & Giovanni Barone-Adesi & Robert Elliott, 1995. "Numerical evaluation of the critical price and American options," European Journal of Finance, Taylor and Francis Journals, vol. 1(1), pages 69-78.
- S. D. Jacka, 1991. "Optimal Stopping and the American Put," Mathematical Finance, Wiley Blackwell, vol. 1(2), pages 1-14.
- 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.
- Martina Nardon & Paolo Pianca, 2008. "An efficient binomial approach to the pricing of options on stocks with cash dividends," Working Papers 178, Department of Applied Mathematics, Università Ca' Foscari Venezia.
- Yi-Ping Chang & Ming-Chin Hung & Yi-Chen Ko, 2011. "A multinomial tree model for pricing credit default swap options," Computational Statistics, Springer, vol. 26(1), pages 95-120, March.
- Martina Nardon & Paolo Pianca, 2012. "Extracting information on implied volatilities and discrete dividends from American options prices," Working Papers 2012_25, Department of Economics, University of Venice "Ca' Foscari".
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