IDEAS home Printed from https://ideas.repec.org/r/oup/rfinst/v11y1998i3p597-626.html
   My bibliography  Save this item

Randomization and the American Put

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Robert Elliott & Leunglung Chan, 2004. "Perpetual American options with fractional Brownian motion," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 123-128.
  2. Grigory Beliavsky & Natalya Danilova & Guennady Ougolnitsky, 2019. "Calculation of Probability of the Exit of a Stochastic Process from a Band by Monte-Carlo Method: A Wiener-Hopf Factorization," Mathematics, MDPI, vol. 7(7), pages 1-8, June.
  3. Jos'e-Luis P'erez & Kazutoshi Yamazaki, 2023. "L\'evy bandits under Poissonian decision times," Papers 2301.07798, arXiv.org.
  4. Ben-Ameur, Hatem & de Frutos, Javier & Fakhfakh, Tarek & Diaby, Vacaba, 2013. "Upper and lower bounds for convex value functions of derivative contracts," Economic Modelling, Elsevier, vol. 34(C), pages 69-75.
  5. Oleg Kudryavtsev & Antonino Zanette, 2013. "Efficient pricing of swing options in L�vy-driven models," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 627-635, March.
  6. Mark Joshi & Mike Staunton, 2012. "On the analytical/numerical pricing of American put options against binomial tree prices," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 17-20, December.
  7. Ce Wang, 2024. "A Two-Step Longstaff Schwartz Monte Carlo Approach to Game Option Pricing," Papers 2401.08093, arXiv.org.
  8. A. -S. Chen & P. -F. Shen, 2003. "Computational complexity analysis of least-squares Monte Carlo (LSM) for pricing US derivatives," Applied Economics Letters, Taylor & Francis Journals, vol. 10(4), pages 223-229.
  9. Kimmel, Robert L., 2004. "Modeling the term structure of interest rates: A new approach," Journal of Financial Economics, Elsevier, vol. 72(1), pages 143-183, April.
  10. A. Mayo, 2004. "High-order accurate implicit finite difference method for evaluating American options," The European Journal of Finance, Taylor & Francis Journals, vol. 10(3), pages 212-237.
  11. Markus Leippold & Nikola Vasiljević, 2020. "Option-Implied Intrahorizon Value at Risk," Management Science, INFORMS, vol. 66(1), pages 397-414, January.
  12. Antonella Basso & Martina Nardon & Paolo Pianca, 2004. "A two-step simulation procedure to analyze the exercise features of American options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(1), pages 35-56, August.
  13. Kirkby, J. Lars & Nguyen, Duy & Cui, Zhenyu, 2017. "A unified approach to Bermudan and barrier options under stochastic volatility models with jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 75-100.
  14. Naser M. Asghari & Peter Iseger & Michael Mandjes, 2014. "Numerical Techniques in Lévy Fluctuation Theory," Methodology and Computing in Applied Probability, Springer, vol. 16(1), pages 31-52, March.
  15. Barone-Adesi, Giovanni, 2005. "The saga of the American put," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2909-2918, November.
  16. Aleksandar Mijatovi'c & Martijn Pistorius, 2009. "Exotic derivatives under stochastic volatility models with jumps," Papers 0912.2595, arXiv.org, revised Oct 2010.
  17. Dosi, Cesare & Moretto, Michele, 2010. "Licences, "Use or Lose" Provisions and the Time of Investment," Institutions and Markets Papers 59756, Fondazione Eni Enrico Mattei (FEEM).
  18. Jos'e-Luis P'erez & Kazutoshi Yamazaki & Alain Bensoussan, 2018. "Optimal periodic replenishment policies for spectrally positive L\'evy demand processes," Papers 1806.09216, arXiv.org, revised Sep 2020.
  19. Lin, X. Sheldon & Wu, Panpan & Wang, Xiao, 2016. "Move-based hedging of variable annuities: A semi-analytic approach," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 40-49.
  20. Sircar, Ronnie & Xiong, Wei, 2007. "A general framework for evaluating executive stock options," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2317-2349, July.
  21. B. Gao J. Huang, "undated". "The Valuation of American Barrier Options Using the Decomposition Technique," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-002, New York University, Leonard N. Stern School of Business-.
  22. Kleinert, Florian & van Schaik, Kees, 2015. "A variation of the Canadisation algorithm for the pricing of American options driven by Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3234-3254.
  23. Sergei Levendorskiĭ, 2022. "Operators and Boundary Problems in Finance, Economics and Insurance: Peculiarities, Efficient Methods and Outstanding Problems," Mathematics, MDPI, vol. 10(7), pages 1-36, March.
  24. Gapeev, Pavel V. & Rodosthenous, Neofytos & Chinthalapati, V.L Raju, 2019. "On the Laplace transforms of the first hitting times for drawdowns and drawups of diffusion-type processes," LSE Research Online Documents on Economics 101272, London School of Economics and Political Science, LSE Library.
  25. Kakushadze, Zura, 2017. "Volatility smile as relativistic effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 475(C), pages 59-76.
  26. Cristina Viegas & Jos� Azevedo-Pereira, 2012. "Mortgage valuation: a quasi-closed-form solution," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 993-1001, May.
  27. Zura Kakushadze, 2016. "Volatility Smile as Relativistic Effect," Papers 1610.02456, arXiv.org, revised Feb 2017.
  28. Tian-Shyr Dai & Yuh-Dauh Lyuu, 2009. "Accurate approximation formulas for stock options with discrete dividends," Applied Economics Letters, Taylor & Francis Journals, vol. 16(16), pages 1657-1663.
  29. Minqiang Li, 2010. "A quasi-analytical interpolation method for pricing American options under general multi-dimensional diffusion processes," Review of Derivatives Research, Springer, vol. 13(2), pages 177-217, July.
  30. Gete, Pedro & Porchia, Paolo, 2011. "A real options analysis of dual labor markets and the single labor contract," MPRA Paper 34055, University Library of Munich, Germany.
  31. Wei Xiong & Ronnie Sircar, 2004. "Evaluating Incentive Options," Econometric Society 2004 North American Winter Meetings 253, Econometric Society.
  32. Philipp N. Baecker, 2007. "Real Options and Intellectual Property," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-48264-2, December.
  33. Saikat Nandi & Daniel F. Waggoner, 2000. "Issues in hedging options positions," Economic Review, Federal Reserve Bank of Atlanta, vol. 85(Q1), pages 24-39.
  34. Walter Farkas & Ludovic Mathys & Nikola Vasiljevi'c, 2020. "Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps," Papers 2002.04675, arXiv.org, revised Jan 2021.
  35. Egami, Masahiko & Leung, Tim & Yamazaki, Kazutoshi, 2013. "Default swap games driven by spectrally negative Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 347-384.
  36. Ruas, João Pedro & Dias, José Carlos & Vidal Nunes, João Pedro, 2013. "Pricing and static hedging of American-style options under the jump to default extended CEV model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4059-4072.
  37. Manuel Moreno & Javier Navas, 2003. "On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives," Review of Derivatives Research, Springer, vol. 6(2), pages 107-128, May.
  38. Choi, Michael C.H. & Cheung, Eric C.K., 2014. "On the expected discounted dividends in the Cramér–Lundberg risk model with more frequent ruin monitoring than dividend decisions," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 121-132.
  39. Baurdoux, Erik J. & Pedraza, José M., 2023. "Predicting the last zero before an exponential time of a spectrally negative Lévy process," LSE Research Online Documents on Economics 119290, London School of Economics and Political Science, LSE Library.
  40. Florian Kleinert & Kees van Schaik, 2013. "A variation of the Canadisation algorithm for the pricing of American options driven by L\'evy processes," Papers 1304.4534, arXiv.org.
  41. Erhan Bayraktar, 2007. "A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions," Papers math/0703782, arXiv.org, revised Dec 2008.
  42. Sascha Mölls & Karl-Heinz Schild, 2012. "Decision-making in sequential projects: expected time-to-build and probability of failure," Review of Quantitative Finance and Accounting, Springer, vol. 39(1), pages 1-25, July.
  43. Yuanda Chen & Zailei Cheng & Haixu Wang, 2023. "Option Pricing for the Variance Gamma Model: A New Perspective," Papers 2306.10659, arXiv.org.
  44. Pizzi Claudio & Pellizzari Paolo, 2002. "Monte Carlo Pricing of American Options Using Nonparametric Regression," Finance 0207007, University Library of Munich, Germany, revised 04 Mar 2003.
  45. Deelstra, Griselda & Hieber, Peter, 2023. "Randomization and the valuation of guaranteed minimum death benefits," European Journal of Operational Research, Elsevier, vol. 309(3), pages 1218-1236.
  46. Zhengjun Jiang & Martijn Pistorius, 2008. "On perpetual American put valuation and first-passage in a regime-switching model with jumps," Finance and Stochastics, Springer, vol. 12(3), pages 331-355, July.
  47. Hansjörg Albrecher & José Carlos Araujo-Acuna, 2022. "On The Randomized Schmitter Problem," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 515-535, June.
  48. Tian-Shyr Dai, 2009. "Efficient option pricing on stocks paying discrete or path-dependent dividends with the stair tree," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 827-838.
  49. Milevsky, Moshe A. & Salisbury, Thomas S., 2006. "Financial valuation of guaranteed minimum withdrawal benefits," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 21-38, February.
  50. Jerome Detemple & Yerkin Kitapbayev, 2018. "Optimal Investment under Cost Uncertainty," Risks, MDPI, vol. 6(1), pages 1-19, January.
  51. Minqiang Li, 2010. "Analytical approximations for the critical stock prices of American options: a performance comparison," Review of Derivatives Research, Springer, vol. 13(1), pages 75-99, April.
  52. S. G. Kou & Hui Wang, 2004. "Option Pricing Under a Double Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 50(9), pages 1178-1192, September.
  53. Leippold, Markus & Vasiljević, Nikola, 2017. "Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 78-94.
  54. Walter Farkas & Ludovic Mathys & Nikola Vasiljević, 2021. "Intra‐Horizon expected shortfall and risk structure in models with jumps," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 772-823, April.
  55. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  56. Erhan Bayraktar, 2009. "On the perpetual American put options for level dependent volatility models with jumps," Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 335-341.
  57. 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.
  58. Claudio Albanese & Stéphane Crépey & Stefano Iabichino, 2021. "A Darwinian Theory of Model Risk," Post-Print hal-03910130, HAL.
  59. Landriault, David & Lemieux, Christiane & Willmot, Gordon E., 2012. "An adaptive premium policy with a Bayesian motivation in the classical risk model," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 370-378.
  60. Kimura, Toshikazu, 2008. "Valuing finite-lived Russian options," European Journal of Operational Research, Elsevier, vol. 189(2), pages 363-374, September.
  61. Luca Barzanti & Corrado Corradi & Martina Nardon, 2006. "On the efficient application of the repeated Richardson extrapolation technique to option pricing," Working Papers 147, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  62. Cheung, Eric C.K. & Wong, Jeff T.Y., 2017. "On the dual risk model with Parisian implementation delays in dividend payments," European Journal of Operational Research, Elsevier, vol. 257(1), pages 159-173.
  63. Michal Czerwonko & Stylianos Perrakis, 2016. "Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics I: A Numerical Solution," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-23, December.
  64. Alfredo Ibáñez, 2003. "Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium," Management Science, INFORMS, vol. 49(9), pages 1210-1228, September.
  65. Junkee Jeon & Jeonggyu Huh & Kyunghyun Park, 2020. "An Analytic Approximation for Valuation of the American Option Under the Heston Model in Two Regimes," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 499-528, August.
  66. Tapio Behrndt & Ren-Raw Chen, 2022. "A New Look at the Swing Contract: From Linear Programming to Particle Swarm Optimization," JRFM, MDPI, vol. 15(6), pages 1-20, May.
  67. Song-Ping Zhu, 2006. "An exact and explicit solution for the valuation of American put options," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 229-242.
  68. Aleksandar Mijatovic & Martijn Pistorius & Johannes Stolte, 2014. "Randomisation and recursion methods for mixed-exponential Levy models, with financial applications," Papers 1410.7316, arXiv.org.
  69. Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015. "An Analytic Recursive Method For Optimal Multiple Stopping: Canadization And Phase-Type Fitting," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-31.
  70. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, University Library of Munich, Germany, revised 13 Dec 2005.
  71. Svetlana Boyarchenko & Sergei Levendorskii, 2023. "Efficient evaluation of joint pdf of a L\'evy process, its extremum, and hitting time of the extremum," Papers 2312.05222, arXiv.org.
  72. Pavel V. Gapeev & Neofytos Rodosthenous & V. L. Raju Chinthalapati, 2019. "On the Laplace Transforms of the First Hitting Times for Drawdowns and Drawups of Diffusion-Type Processes," Risks, MDPI, vol. 7(3), pages 1-15, August.
  73. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "American options: the EPV pricing model," Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
  74. Avram, Florin & Chan, Terence & Usabel, Miguel, 0. "On the valuation of constant barrier options under spectrally one-sided exponential Lévy models and Carr's approximation for American puts," Stochastic Processes and their Applications, Elsevier, vol. 100(1-2), pages 75-107, July.
  75. Ma, Jingtang & Yang, Wensheng & Cui, Zhenyu, 2021. "CTMC integral equation method for American options under stochastic local volatility models," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
  76. Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 12, July-Dece.
  77. Kimura, Toshikazu, 2010. "Valuing continuous-installment options," European Journal of Operational Research, Elsevier, vol. 201(1), pages 222-230, February.
  78. Ludovic Mathys, 2019. "Valuing Tradeability in Exponential L\'evy Models," Papers 1912.00469, arXiv.org, revised Feb 2020.
  79. Zbigniew Palmowski & José Luis Pérez & Kazutoshi Yamazaki, 2021. "Double continuation regions for American options under Poisson exercise opportunities," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 722-771, April.
  80. Dmitry Davydov & Vadim Linetsky, 2001. "Pricing and Hedging Path-Dependent Options Under the CEV Process," Management Science, INFORMS, vol. 47(7), pages 949-965, July.
  81. Jakša Cvitanić & Charles Plott & Chien-Yao Tseng, 2015. "Markets with random lifetimes and private values: mean reversion and option to trade," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(1), pages 1-19, April.
  82. Medvedev, Alexey & Scaillet, Olivier, 2010. "Pricing American options under stochastic volatility and stochastic interest rates," Journal of Financial Economics, Elsevier, vol. 98(1), pages 145-159, October.
  83. In oon Kim & Bong-Gyu Jang & Kyeong Tae Kim, 2013. "A simple iterative method for the valuation of American options," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 885-895, May.
  84. Lin, X. Sheldon & Wang, Tao, 2009. "Pricing perpetual American catastrophe put options: A penalty function approach," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 287-295, April.
  85. Ravi Kashyap, 2022. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, vol. 315(2), pages 1175-1215, August.
  86. Christian Bayer & Ra'ul Tempone & Soren Wolfers, 2018. "Pricing American Options by Exercise Rate Optimization," Papers 1809.07300, arXiv.org, revised Aug 2019.
  87. Cristina Viegas & José Azevedo-Pereira, 2020. "A Quasi-Closed-Form Solution for the Valuation of American Put Options," IJFS, MDPI, vol. 8(4), pages 1-16, October.
  88. Fuhrman, Marco & Morlais, Marie-Amélie, 2020. "Optimal switching problems with an infinite set of modes: An approach by randomization and constrained backward SDEs," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 3120-3153.
  89. Oleg Kudryavtsev & Sergei Levendorskiǐ, 2009. "Fast and accurate pricing of barrier options under Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 531-562, September.
  90. Yaodi Yong & Hailiang Yang, 2021. "Valuation of Cliquet-Style Guarantees with Death Benefits in Jump Diffusion Models," Mathematics, MDPI, vol. 9(16), pages 1-21, August.
  91. Leunglung Chan & Song-Ping Zhu, 2021. "An Analytic Approach for Pricing American Options with Regime Switching," JRFM, MDPI, vol. 14(5), pages 1-20, April.
  92. Burcu Aydoğan & Ümit Aksoy & Ömür Uğur, 2018. "On the methods of pricing American options: case study," Annals of Operations Research, Springer, vol. 260(1), pages 79-94, January.
  93. Ferreiro-Castilla, A. & Kyprianou, A.E. & Scheichl, R. & Suryanarayana, G., 2014. "Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation," Stochastic Processes and their Applications, Elsevier, vol. 124(2), pages 985-1010.
  94. Jing Zhao & Hoi Ying Wong, 2012. "A closed-form solution to American options under general diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 725-737, July.
  95. Zhiqiang Zhou & Hongying Wu, 2018. "Laplace Transform Method for Pricing American CEV Strangles Option with Two Free Boundaries," Discrete Dynamics in Nature and Society, Hindawi, vol. 2018, pages 1-12, September.
  96. David Landriault & Jean-François Renaud & Xiaowen Zhou, 2014. "An Insurance Risk Model with Parisian Implementation Delays," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 583-607, September.
  97. Tomonori Nakatsu, 2017. "An Integration by Parts Type Formula for Stopping Times and its Application," Methodology and Computing in Applied Probability, Springer, vol. 19(3), pages 751-773, September.
  98. Duistermaat, J.J. & Kyprianou, A.E. & van Schaik, K., 2005. "Finite expiry Russian options," Stochastic Processes and their Applications, Elsevier, vol. 115(4), pages 609-638, April.
  99. D. J. Manuge & P. T. Kim, 2014. "A fast Fourier transform method for Mellin-type option pricing," Papers 1403.3756, arXiv.org, revised Mar 2014.
  100. Li, Chenxu & Ye, Yongxin, 2019. "Pricing and Exercising American Options: an Asymptotic Expansion Approach," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
  101. Zbigniew Palmowski & Jos'e Luis P'erez & Kazutoshi Yamazaki, 2020. "Double continuation regions for American options under Poisson exercise opportunities," Papers 2004.03330, arXiv.org.
  102. Kimura, Toshikazu, 2010. "Valuing executive stock options: A quadratic approximation," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1368-1379, December.
  103. Cheung, Eric C.K. & Zhu, Wei, 2023. "Cumulative Parisian ruin in finite and infinite time horizons for a renewal risk process with exponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 84-101.
  104. Z. Jiang & M. R. Pistorius, 2008. "On perpetual American put valuation and first-passage in a regime-switching model with jumps," Papers 0803.2302, arXiv.org.
  105. Asmussen, Søren & Avram, Florin & Pistorius, Martijn R., 2004. "Russian and American put options under exponential phase-type Lévy models," Stochastic Processes and their Applications, Elsevier, vol. 109(1), pages 79-111, January.
  106. Zbigniew Palmowski & José Luis Pérez & Budhi Arta Surya & Kazutoshi Yamazaki, 2020. "The Leland–Toft optimal capital structure model under Poisson observations," Finance and Stochastics, Springer, vol. 24(4), pages 1035-1082, October.
  107. Denis Belomestny & Pavel V. Gapeev, 2006. "An Iteration Procedure for Solving Integral Equations Related to Optimal Stopping Problems," SFB 649 Discussion Papers SFB649DP2006-043, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  108. Tim Leung & Haohua Wan, 2015. "ESO Valuation with Job Termination Risk and Jumps in Stock Price," Papers 1504.08073, arXiv.org.
  109. Albert Ferreiro-Castilla & Kees van Schaik, 2013. "Applying the Wiener-Hopf Monte Carlo simulation technique for Levy processes to path functionals such as first passage times, undershoots and overshoots," Papers 1306.3923, arXiv.org, revised Mar 2014.
  110. Ravi Kashyap, 2016. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Papers 1609.01274, arXiv.org, revised Mar 2022.
  111. Paolo Guasoni & Johannes Muhle-Karbe, 2012. "Portfolio Choice with Transaction Costs: a User's Guide," Papers 1207.7330, arXiv.org.
  112. Fernando Branco & Monic Sun & J. Miguel Villas-Boas, 2016. "Too Much Information? Information Provision and Search Costs," Marketing Science, INFORMS, vol. 35(4), pages 605-618, July.
  113. Walter Farkas & Ludovic Mathys, 2020. "Geometric Step Options with Jumps. Parity Relations, PIDEs, and Semi-Analytical Pricing," Papers 2002.09911, arXiv.org.
  114. Søren Asmussen & Patrick J. Laub & Hailiang Yang, 2019. "Phase-Type Models in Life Insurance: Fitting and Valuation of Equity-Linked Benefits," Risks, MDPI, vol. 7(1), pages 1-22, February.
  115. Blanchet-Scalliet, Christophette & El Karoui, Nicole & Martellini, Lionel, 2005. "Dynamic asset pricing theory with uncertain time-horizon," Journal of Economic Dynamics and Control, Elsevier, vol. 29(10), pages 1737-1764, October.
  116. Asmussen, Søren & Bladt, Mogens, 2022. "Moments and polynomial expansions in discrete matrix-analytic models," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 1165-1188.
  117. Elettra Agliardi & Rossella Agliardi, 2023. "Pricing Multidimensional American Options," IJFS, MDPI, vol. 11(1), pages 1-10, March.
  118. Neofytos Rodosthenous & Hongzhong Zhang, 2017. "Beating the Omega Clock: An Optimal Stopping Problem with Random Time-horizon under Spectrally Negative L\'evy Models," Papers 1706.03724, arXiv.org.
  119. Chinonso Nwankwo & Nneka Umeorah & Tony Ware & Weizhong Dai, 2022. "Deep learning and American options via free boundary framework," Papers 2211.11803, arXiv.org, revised Dec 2022.
  120. Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2011.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.