American chooser options
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References listed on IDEAS
- 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.
- Chiarella, Carl & Ziogas, Andrew, 2005.
"Evaluation of American strangles,"
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- Carl Chiarella & Andrew Ziogas, 2002. "Evaluation of American Strangles," Research Paper Series 83, Quantitative Finance Research Centre, University of Technology, Sydney.
- Carl Chiarella & Andrew Ziogas, 2002. "Evaluation of American Strangles," Computing in Economics and Finance 2002 28, Society for Computational Economics.
- Mark Broadie & Jérôme Detemple, 1997. "The Valuation of American Options on Multiple Assets," Mathematical Finance, Wiley Blackwell, vol. 7(3), pages 241-286.
- 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.
- 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-.
- Schroder, Mark, 1999. "Changes of Numeraire for Pricing Futures, Forwards, and Options," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1143-1163.
- Peter Carr & Robert Jarrow & Ravi Myneni, 2008.
"Alternative Characterizations Of American Put Options,"
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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.
- Siim Kallast & Andi Kivinukk, 2003. "Pricing and Hedging American Options Using Approximations by Kim Integral Equations," Review of Finance, Springer, vol. 7(3), pages 361-383.
- Broadie, Mark & Detemple, Jerome, 1996. "American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods," Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1211-1250.
- Marek Rutkowski, 1994. "The Early Exercise Premium Representation Of Foreign Market American Options," Mathematical Finance, Wiley Blackwell, vol. 4(4), pages 313-325.
- Ju, Nengjiu, 1998. "Pricing an American Option by Approximating Its Early Exercise Boundary as a Multipiece Exponential Function," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 627-646.
- S. D. Jacka, 1991. "Optimal Stopping and the American Put," Mathematical Finance, Wiley Blackwell, vol. 1(2), pages 1-14.
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- repec:eee:dyncon:v:80:y:2017:i:c:p:75-100 is not listed on IDEAS
- Jérôme Detemple, 2014. "Optimal Exercise for Derivative Securities," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 459-487, December.
- Anna Battauz & Marzia De Donno & Alessandro Sbuelz, 2015.
"Real Options and American Derivatives: The Double Continuation Region,"
INFORMS, vol. 61(5), pages 1094-1107, May.
- Anna Battauz & Marzia De Donno & Alessandro Sbuelz, 2013. "Real Options and American Derivatives: the Double Continuation Region," Working Papers 499, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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KeywordsAmerican chooser options Exercise region Early exercise premium Integral equations;
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