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Option Pricing: The American Put

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Author Info
Parkinson, Michael
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Publisher Info
Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 50 (1977)
Issue (Month): 1 (January)
Pages: 21-36
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Handle: RePEc:ucp:jnlbus:v:50:y:1977:i:1:p:21-36

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  1. Scholes, Myron S., 1997. "Derivatives in a Dynamic Environment," Nobel Prize in Economics documents 1997-2, Nobel Prize Committee. [Downloadable!]
    Other versions:
  2. Frank Milne & Dilip Madan, 1991. "Option Pricing With V. G. Martingale Components," Working Papers 1159, Queen's University, Department of Economics. [Downloadable!]
  3. Marco Raberto & Enrico Scalas & Francesco Mainardi, 2004. "Waiting-times and returns in high-frequency financial data: an empirical study," Finance 0411014, EconWPA. [Downloadable!]
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  4. 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!]
  5. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation, Yale University. [Downloadable!]
  6. 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!]
  7. 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)
  8. E. Philip Jones & Scott P. Mason & Eric Rosenfeld, 1985. "Contingent Claims Valuation of Corporate Liabilities: Theory and Empirical Tests," NBER Working Papers 1143, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  9. Ren-Raw Chen & Oded Palmon, 2005. "A Non-Parametric Option Pricing Model: Theory and Empirical Evidence," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 115-134, January. [Downloadable!] (restricted)
  10. Carl Chiarella & Andrew Ziogas, 2002. "Evaluation of American Strangles," Computing in Economics and Finance 2002 28, Society for Computational Economics. [Downloadable!]
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  11. Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan, 2009. "A High-Low Model of Daily Stock Price Ranges," Working Papers 032009, Hong Kong Institute for Monetary Research. [Downloadable!]
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  12. Enrico Scalas, 2005. "Five Years of Continuous-time Random Walks in Econophysics," Finance 0501005, EconWPA. [Downloadable!]
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  13. Mark Broadie & Jérôme B. Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO. [Downloadable!]
  14. 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!]
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