IDEAS home Printed from https://ideas.repec.org/r/oup/rfinst/v9y1996i4p1211-50.html
   My bibliography  Save this item

American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods

Citations

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


Cited by:

  1. Jean-Guy Simonato, 2016. "A Simplified Quadrature Approach for Computing Bermudan Option Prices," International Review of Finance, International Review of Finance Ltd., vol. 16(4), pages 647-658, December.
  2. 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.
  3. Jean-Yves Datey & Genevieve Gauthier & Jean-Guy Simonato, 2003. "The Performance of Analytical Approximations for the Computation of Asian Quanto-Basket Option Prices," Multinational Finance Journal, Multinational Finance Journal, vol. 7(1-2), pages 55-82, March-Jun.
  4. Yerkin Kitapbayev, 2019. "Closed form optimal exercise boundary of the American put option," Papers 1912.05438, arXiv.org, revised Jan 2021.
  5. Allegretto, Walter & Lin, Yanping & Yang, Hongtao, 2002. "A novel approach to the valuation of American options," Global Finance Journal, Elsevier, vol. 13(1), pages 17-28.
  6. Jérôme Detemple & Carlton Osakwe, 2000. "The Valuation of Volatility Options," Review of Finance, European Finance Association, vol. 4(1), pages 21-50.
  7. Jin-Chuan Duan & Genevieve Gauthier & Caroline Sasseville & Jean-Guy Simonato, 2002. "Seize the Moments: Approximating American Option Prices in the GARCH Framework," Finance 0206005, University Library of Munich, Germany.
  8. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "Nonparametric estimation of American options' exercise boundaries and call prices," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1829-1857, October.
  9. Joshua V. Rosenberg, 2003. "Nonparametric pricing of multivariate contingent claims," Staff Reports 162, Federal Reserve Bank of New York.
  10. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
  11. 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.
  12. Doriana Ruffino & Jonathan Treussard, 2006. "Lumps and Clusters in Duopolistic Investment Games: An Early Exercise Premium Approach," Boston University - Department of Economics - Working Papers Series WP2006-044, Boston University - Department of Economics.
  13. João Nunes, 2011. "American options and callable bonds under stochastic interest rates and endogenous bankruptcy," Review of Derivatives Research, Springer, vol. 14(3), pages 283-332, October.
  14. San-Lin Chung & Pai-Ta Shih, 2007. "Generalized Cox-Ross-Rubinstein Binomial Models," Management Science, INFORMS, vol. 53(3), pages 508-520, March.
  15. Andersson, Kristoffer & Oosterlee, Cornelis W., 2021. "A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options," Applied Mathematics and Computation, Elsevier, vol. 408(C).
  16. Barone-Adesi, Giovanni, 2005. "The saga of the American put," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2909-2918, November.
  17. Andersson, Kristoffer & Oosterlee, Cornelis W., 2021. "Deep learning for CVA computations of large portfolios of financial derivatives," Applied Mathematics and Computation, Elsevier, vol. 409(C).
  18. Muthuraman, Kumar, 2008. "A moving boundary approach to American option pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3520-3537, November.
  19. Georges Dionne & Genevieve Gauthier & Nadia Ouertani & Nabil Tahani, 2011. "Heterogeneous Basket Options Pricing Using Analytical Approximations," Multinational Finance Journal, Multinational Finance Journal, vol. 15(1-2), pages 47-85, March - J.
  20. Chung, San-Lin & Hung, Mao-Wei & Wang, Jr-Yan, 2010. "Tight bounds on American option prices," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 77-89, January.
  21. David Berger & Ian Dew-Becker & Stefano Giglio, 2020. "Uncertainty Shocks as Second-Moment News Shocks," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(1), pages 40-76.
  22. Denis Belomestny & Grigori Milstein & Vladimir Spokoiny, 2009. "Regression methods in pricing American and Bermudan options using consumption processes," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 315-327.
  23. Jin, Xing & Li, Xun & Tan, Hwee Huat & Wu, Zhenyu, 2013. "A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction," European Journal of Operational Research, Elsevier, vol. 231(2), pages 362-370.
  24. Björn Lutz, 2010. "Pricing of Derivatives on Mean-Reverting Assets," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-02909-7, December.
  25. Chuang-Chang Chang & Jun-Biao Lin & Wei-Che Tsai & Yaw-Huei Wang, 2012. "Using Richardson extrapolation techniques to price American options with alternative stochastic processes," Review of Quantitative Finance and Accounting, Springer, vol. 39(3), pages 383-406, October.
  26. Andrea Gamba & Nicola Fusari, 2009. "Valuing Modularity as a Real Option," Management Science, INFORMS, vol. 55(11), pages 1877-1896, November.
  27. Tubetov, Dulat & Musshoff, Oliver & Kellner, Ulla, 2012. "Investments in Kazakhstani Dairy Farming: A Comparison of Classical Investment Theory and the Real Options Approach," Quarterly Journal of International Agriculture, Humboldt-Universitaat zu Berlin, vol. 51(3), pages 1-28, August.
  28. Guillaume Leduc & Merima Nurkanovic Hot, 2020. "Joshi’s Split Tree for Option Pricing," Risks, MDPI, vol. 8(3), pages 1-26, August.
  29. Carole Bernard & Phelim Boyle, 2011. "Monte Carlo methods for pricing discrete Parisian options," The European Journal of Finance, Taylor & Francis Journals, vol. 17(3), pages 169-196.
  30. Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2012. "Valuing American Options Using Fast Recursive Projections," Swiss Finance Institute Research Paper Series 12-26, Swiss Finance Institute.
  31. Braouezec, Yann & Grunspan, Cyril, 2016. "A new elementary geometric approach to option pricing bounds in discrete time models," European Journal of Operational Research, Elsevier, vol. 249(1), pages 270-280.
  32. Blessing Taruvinga & Boda Kang & Christina Sklibosios Nikitopoulos, 2018. "Pricing American Options with Jumps in Asset and Volatility," Research Paper Series 394, Quantitative Finance Research Centre, University of Technology, Sydney.
  33. Broadie, Mark & Detemple, Jerome & Ghysels, Eric & Torres, Olivier, 2000. "American options with stochastic dividends and volatility: A nonparametric investigation," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 53-92.
  34. 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.
  35. Xinfu Chen & John Chadam & Lishang Jiang & Weian Zheng, 2008. "Convexity Of The Exercise Boundary Of The American Put Option On A Zero Dividend Asset," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 185-197, January.
  36. Tze Leung Lai & Samuel Po-Shing Wong, 2007. "Combining domain knowledge and statistical models in time series analysis," Papers math/0702814, arXiv.org.
  37. A. Golbabai & E. Mohebianfar, 2017. "A New Stable Local Radial Basis Function Approach for Option Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 49(2), pages 271-288, February.
  38. Doriana Ruffino, 2014. "Resuscitating Businessman Risk: A Rationale for Familiarity-Based Portfolios," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(1), pages 107-130, January.
  39. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation for Research in Economics, Yale University.
  40. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  41. 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.
  42. 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.
  43. 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.
  44. Jarno Talponen & Minna Turunen, 2022. "Option pricing: a yet simpler approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 45(1), pages 57-81, June.
  45. Denis Veliu & Roberto De Marchis & Mario Marino & Antonio Luciano Martire, 2022. "An Alternative Numerical Scheme to Approximate the Early Exercise Boundary of American Options," Mathematics, MDPI, vol. 11(1), pages 1-12, December.
  46. Pressacco, Flavio & Gaudenzi, Marcellino & Zanette, Antonino & Ziani, Laura, 2008. "New insights on testing the efficiency of methods of pricing and hedging American options," European Journal of Operational Research, Elsevier, vol. 185(1), pages 235-254, February.
  47. Zhongkai Liu & Tao Pang, 2016. "An efficient grid lattice algorithm for pricing American-style options," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 36-55.
  48. D. Andricopoulos, Ari & Widdicks, Martin & Newton, David P. & Duck, Peter W., 2007. "Extending quadrature methods to value multi-asset and complex path dependent options," Journal of Financial Economics, Elsevier, vol. 83(2), pages 471-499, February.
  49. 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.
  50. Duan, Jin-Chuan & Simonato, Jean-Guy, 2001. "American option pricing under GARCH by a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 25(11), pages 1689-1718, November.
  51. Belssing Taruvinga, 2019. "Solving Selected Problems on American Option Pricing with the Method of Lines," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2019.
  52. Jun Cheng & Jin Zhang, 2012. "Analytical pricing of American options," Review of Derivatives Research, Springer, vol. 15(2), pages 157-192, July.
  53. Cheng Cai & Tiziano De Angelis & Jan Palczewski, 2021. "The American put with finite-time maturity and stochastic interest rate," Papers 2104.08502, arXiv.org, revised Feb 2024.
  54. Jaime A. Londo~no, 2003. "State Tameness: A New Approach for Credit Constrains," Papers math/0305274, arXiv.org, revised Feb 2004.
  55. Gambaro, Anna Maria & Kyriakou, Ioannis & Fusai, Gianluca, 2020. "General lattice methods for arithmetic Asian options," European Journal of Operational Research, Elsevier, vol. 282(3), pages 1185-1199.
  56. Jérôme Detemple, 2014. "Optimal Exercise for Derivative Securities," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 459-487, December.
  57. 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).
  58. San-Lin Chung & Mark Shackleton, 2005. "On the use and improvement of Hull and White's control variate technique," Applied Financial Economics, Taylor & Francis Journals, vol. 15(16), pages 1171-1179.
  59. Fabozzi, Frank J. & Paletta, Tommaso & Tunaru, Radu, 2017. "An improved least squares Monte Carlo valuation method based on heteroscedasticity," European Journal of Operational Research, Elsevier, vol. 263(2), pages 698-706.
  60. 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.
  61. Bakshi, Gurdip & Madan, Dilip & Panayotov, George, 2010. "Returns of claims on the upside and the viability of U-shaped pricing kernels," Journal of Financial Economics, Elsevier, vol. 97(1), pages 130-154, July.
  62. Lokman Abbas-Turki & Bernard Lapeyre, 2011. "American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods," Papers 1104.5131, arXiv.org, revised Apr 2011.
  63. Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2020. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 331-356, February.
  64. Chang, Chuang-Chang & Lin, Jun-Biao, 2010. "The valuation of contingent claims using alternative numerical methods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 490-508, December.
  65. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
  66. Donald Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Yale School of Management Working Papers amz2581, Yale School of Management, revised 01 Jul 2005.
  67. Jarno Talponen & Minna Turunen, 2017. "Option pricing: A yet simpler approach," Papers 1705.00212, arXiv.org, revised Mar 2018.
  68. 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.
  69. Golbabai, Ahmad & Mohebianfar, Ehsan, 2017. "A new method for evaluating options based on multiquadric RBF-FD method," Applied Mathematics and Computation, Elsevier, vol. 308(C), pages 130-141.
  70. Leif Andersen & Mark Broadie, 2004. "Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options," Management Science, INFORMS, vol. 50(9), pages 1222-1234, September.
  71. R. Kalantari & S. Shahmorad, 2019. "A Stable and Convergent Finite Difference Method for Fractional Black–Scholes Model of American Put Option Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 191-205, January.
  72. Stefano Giglio & Ian Dew-Becker & David Berger, 2016. "Contractionary Volatility or Volatile Contractions?," 2016 Meeting Papers 673, Society for Economic Dynamics.
  73. José Carlos Dias & João Pedro Vidal Nunes & Aricson Cruz, 2020. "A note on options and bubbles under the CEV model: implications for pricing and hedging," Review of Derivatives Research, Springer, vol. 23(3), pages 249-272, October.
  74. 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.
  75. Garcia, Diego, 2003. "Convergence and Biases of Monte Carlo estimates of American option prices using a parametric exercise rule," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1855-1879, August.
  76. San–Lin Chung & Mark B. Shackleton, 2007. "Generalised Geske‐‐Johnson Interpolation of Option Prices," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(5‐6), pages 976-1001, June.
  77. Oleksandr Zhylyevskyy, 2010. "A fast Fourier transform technique for pricing American options under stochastic volatility," Review of Derivatives Research, Springer, vol. 13(1), pages 1-24, April.
  78. Andrew Ziogas, 2005. "Pricing American Options Using Fourier Analysis," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 29, July-Dece.
  79. Wang, Chuan-Ju & Kao, Ming-Yang, 2016. "Optimal search for parameters in Monte Carlo simulation for derivative pricing," European Journal of Operational Research, Elsevier, vol. 249(2), pages 683-690.
  80. Rad, Jamal Amani & Parand, Kourosh & Ballestra, Luca Vincenzo, 2015. "Pricing European and American options by radial basis point interpolation," Applied Mathematics and Computation, Elsevier, vol. 251(C), pages 363-377.
  81. Gurdip Bakshi & Charles Cao & Zhaodong (Ken) Zhong, 2021. "Assessing models of individual equity option prices," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 1-28, July.
  82. Viktor Todorov & Yang Zhang, 2022. "Information gains from using short‐dated options for measuring and forecasting volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(2), pages 368-391, March.
  83. Vidal Nunes, João Pedro & Ruas, João Pedro & Dias, José Carlos, 2015. "Pricing and static hedging of American-style knock-in options on defaultable stocks," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 343-360.
  84. Jimmy E. Hilliard, 2014. "Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 101-110, January.
  85. Andrea Gamba & Lenos Trigeorgis, 2007. "An Improved Binomial Lattice Method for Multi-Dimensional Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 453-475.
  86. Koulisianis, M.D & Papatheodorou, T.S, 2000. "A ‘moving index’ method for the solution of the American options valuation problem," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 54(4), pages 373-381.
  87. Denault, Michel & Simonato, Jean-Guy, 2022. "A note on a dynamic goal-based wealth management problem," Finance Research Letters, Elsevier, vol. 46(PB).
  88. Richter, Martin & Sørensen, Carsten, 2002. "Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans," Working Papers 2002-4, Copenhagen Business School, Department of Finance.
  89. Qianru Shang & Brian Byrne, 2021. "American option pricing: Optimal Lattice models and multidimensional efficiency tests," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 514-535, April.
  90. Jin-Chuan Duan & Jean-Guy Simonato, 1998. "Empirical Martingale Simulation for Asset Prices," Management Science, INFORMS, vol. 44(9), pages 1218-1233, September.
  91. Markus Leippold & Nikola Vasiljević, 2020. "Option-Implied Intrahorizon Value at Risk," Management Science, INFORMS, vol. 66(1), pages 397-414, January.
  92. Lin, Chung-Gee & Yang, Wei-Ning & Chen, Shu-Chuan, 2014. "Analyses of retirement benefits with options," Economic Modelling, Elsevier, vol. 36(C), pages 130-135.
  93. Jia‐Hau Guo & Lung‐Fu Chang, 2020. "Repeated Richardson extrapolation and static hedging of barrier options under the CEV model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 974-988, June.
  94. Fabozzi, Frank J. & Paletta, Tommaso & Stanescu, Silvia & Tunaru, Radu, 2016. "An improved method for pricing and hedging long dated American options," European Journal of Operational Research, Elsevier, vol. 254(2), pages 656-666.
  95. Scott B. Laprise & Michael C. Fu & Steven I. Marcus & Andrew E. B. Lim & Huiju Zhang, 2006. "Pricing American-Style Derivatives with European Call Options," Management Science, INFORMS, vol. 52(1), pages 95-110, January.
  96. Kyoung-Sook Moon & Hongjoong Kim, 2013. "A multi-dimensional local average lattice method for multi-asset models," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 873-884, May.
  97. Donald Brown & Rustam Ibragimov & Johan Walden, 2015. "Bounds for path-dependent options," Annals of Finance, Springer, vol. 11(3), pages 433-451, November.
  98. Martin Cincibuch, 2002. "Distributions Implied by Exchange Traded Options: A Ghost’s Smile?," CERGE-EI Working Papers wp200, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  99. Andras Prekopa & Tam�s Sz�ntai, 2010. "On the analytical-numerical valuation of the Bermudan and American options," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 59-74.
  100. Locatelli, Giorgio & Mancini, Mauro & Lotti, Giovanni, 2020. "A simple-to-implement real options method for the energy sector," Energy, Elsevier, vol. 197(C).
  101. George W. Kutner & David C. Porter & John G. Thatcher, 2001. "The Proposed Introduction Of Futures-Style Margining In The United States: An Australian Comparison," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(2), pages 239-259, June.
  102. 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-.
  103. Ting Chen & Mark Joshi, 2012. "Truncation and acceleration of the Tian tree for the pricing of American put options," Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1695-1708, November.
  104. John Handley, 2005. "On the Upper Bound of a Call Option," Review of Derivatives Research, Springer, vol. 8(2), pages 85-95, August.
  105. Chockalingam, Arun & Muthuraman, Kumar, 2015. "An approximate moving boundary method for American option pricing," European Journal of Operational Research, Elsevier, vol. 240(2), pages 431-438.
  106. Jérôme Lelong & Antonino Zanette, 2010. "Tree methods," Post-Print hal-00776713, HAL.
  107. Zbigniew Palmowski & Tomasz Serafin, 2020. "A Note on Simulation Pricing of π -Options," Risks, MDPI, vol. 8(3), pages 1-19, August.
  108. 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.
  109. 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.
  110. Detemple, Jérôme & Emmerling, Thomas, 2009. "American chooser options," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 128-153, January.
  111. Donald Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Yale School of Management Working Papers amz2581, Yale School of Management, revised 01 Jul 2005.
  112. Nils Crasselt & Christian Lohmann, 2016. "Considering real options in short-term decision making," Journal of Management Control: Zeitschrift für Planung und Unternehmenssteuerung, Springer, vol. 27(4), pages 351-369, November.
  113. Elizondo Rocío & Padilla Pablo & Bladt Mogens, 2009. "An Alternative Formula to Price American Options," Working Papers 2009-06, Banco de México.
  114. Aricson Cruz & José Carlos Dias, 2020. "Valuing American-style options under the CEV model: an integral representation based method," Review of Derivatives Research, Springer, vol. 23(1), pages 63-83, April.
  115. Xiaotong Lian & Yingda Song, 2021. "Pricing and calibration of the futures options market: A unified approximation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1074-1091, July.
  116. 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.
  117. Anna Battauz & Marzia De Donno & Alessandro Sbuelz, 2015. "Real Options and American Derivatives: The Double Continuation Region," Management Science, INFORMS, vol. 61(5), pages 1094-1107, May.
  118. Jamal Amani Rad & Kourosh Parand & Saeid Abbasbandy, 2014. "Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options," Papers 1412.6063, arXiv.org.
  119. Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
  120. Jérôme Detemple & Weidong Tian, 2002. "The Valuation of American Options for a Class of Diffusion Processes," Management Science, INFORMS, vol. 48(7), pages 917-937, July.
  121. Dasheng Ji & B. Brorsen, 2011. "A recombining lattice option pricing model that relaxes the assumption of lognormality," Review of Derivatives Research, Springer, vol. 14(3), pages 349-367, October.
  122. Dionne, Georges & Gauthier, Geneviève & Ouertani, Nadia, 2009. "Basket options on heterogeneous underlying assets," Working Papers 09-3, HEC Montreal, Canada Research Chair in Risk Management.
  123. Kyungwon Kim & Jae Wook Song, 2020. "Detecting Possible Reduction of the Housing Bubble in Korea for Different Residential Types and Regions," Sustainability, MDPI, vol. 12(3), pages 1-31, February.
  124. Klimsiak, Tomasz & Rozkosz, Andrzej & Ziemkiewicz, Bartosz, 2016. "Valuing American options by simulation: A BSDEs approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 123(C), pages 1-18.
  125. 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.
  126. Nelson Areal & Artur Rodrigues & Manuel Armada, 2008. "On improving the least squares Monte Carlo option valuation method," Review of Derivatives Research, Springer, vol. 11(1), pages 119-151, March.
  127. Michael C. Fu & Bingqing Li & Rongwen Wu & Tianqi Zhang, 2020. "Option Pricing Under a Discrete-Time Markov Switching Stochastic Volatility with Co-Jump Model," Papers 2006.15054, arXiv.org.
  128. 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.
  129. Battauz, Anna & De Donno, Marzia & Sbuelz, Alessandro, 2022. "On the exercise of American quanto options," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  130. 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.
  131. Chow, Ying-Foon & Huang, Charles & Liu, Ming, 2000. "Valuation of adjustable rate mortgages with automatic stretching maturity," Journal of Banking & Finance, Elsevier, vol. 24(11), pages 1809-1829, November.
  132. Huimin Yao & Frederik Pretorius, 2014. "Demand Uncertainty, Development Timing and Leasehold Land Valuation: Empirical Testing of Real Options in Residential Real Estate Development," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 42(4), pages 829-868, December.
  133. 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.
  134. Andrew Ziogas, 2005. "Pricing American Options Using Fourier Analysis," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2005.
  135. Chung, San-Lin & Shih, Pai-Ta, 2009. "Static hedging and pricing American options," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2140-2149, November.
  136. Fusai, Gianluca & Recchioni, Maria Cristina, 2007. "Analysis of quadrature methods for pricing discrete barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 31(3), pages 826-860, March.
  137. 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.
  138. Li, Minqiang, 2008. "Closed-Form Approximations for Spread Option Prices and Greeks," MPRA Paper 6994, University Library of Munich, Germany.
  139. Simon Scheidegger & Adrien Treccani, 2021. "Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations [Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion]," Journal of Financial Econometrics, Oxford University Press, vol. 19(2), pages 258-290.
  140. Oleksandr Zhylyevskyy, 2005. "Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme," Computing in Economics and Finance 2005 187, Society for Computational Economics.
  141. Nagae, Takeshi & Akamatsu, Takashi, 2008. "A generalized complementarity approach to solving real option problems," Journal of Economic Dynamics and Control, Elsevier, vol. 32(6), pages 1754-1779, June.
  142. Zaevski, Tsvetelin S., 2022. "Pricing discounted American capped options," Chaos, Solitons & Fractals, Elsevier, vol. 156(C).
  143. Jongwoo Lee & Dean Paxson, 2003. "Confined exponential approximations for the valuation of American options," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 449-474.
  144. Bally Vlad & Caramellino Lucia & Zanette Antonino, 2005. "Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach," Monte Carlo Methods and Applications, De Gruyter, vol. 11(2), pages 97-133, June.
  145. Alona Bock & Ralf Korn, 2016. "Improving Convergence of Binomial Schemes and the Edgeworth Expansion," Risks, MDPI, vol. 4(2), pages 1-22, May.
  146. Cheng Cai & Tiziano De Angelis & Jan Palczewski, 2022. "The American put with finite‐time maturity and stochastic interest rate," Mathematical Finance, Wiley Blackwell, vol. 32(4), pages 1170-1213, October.
  147. Liming Feng & Vadim Linetsky, 2008. "Pricing Options in Jump-Diffusion Models: An Extrapolation Approach," Operations Research, INFORMS, vol. 56(2), pages 304-325, April.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.