The adaptive mesh model: a new approach to efficient option pricing
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Stephen Figlewski & Bin Gao, 1998. "The Adaptive Mesh Model: A New Approach to Efficient Option Pricing," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-032, New York University, Leonard N. Stern School of Business-.
References listed on IDEAS
- Hull, John & White, Alan, 1990. "Valuing Derivative Securities Using the Explicit Finite Difference Method," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(01), pages 87-100, March.
- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
- Geske, Robert & Johnson, Herb E, 1984. " The American Put Option Valued Analytically," Journal of Finance, American Finance Association, vol. 39(5), pages 1511-1524, December.
- Mark Rubinstein., 1991. "Exotic Options," Research Program in Finance Working Papers RPF-220, University of California at Berkeley.
- Brennan, Michael J & Schwartz, Eduardo S, 1977. "The Valuation of American Put Options," Journal of Finance, American Finance Association, vol. 32(2), pages 449-462, May.
- Canina, Linda & Figlewski, Stephen, 1993. "The Informational Content of Implied Volatility," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 659-681.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kristensen, Dennis & Mele, Antonio, 2011.
"Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models,"
Journal of Financial Economics,
Elsevier, vol. 102(2), pages 390-415.
- Dennis Kristensen & Antonio Mele, 2009. "Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models," CREATES Research Papers 2009-14, Department of Economics and Business Economics, Aarhus University.
- Benjamin Jourdain & Antonino Zanette, 2008. "A moments and strike matching binomial algorithm for pricing American Put options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 31(1), pages 33-49, May.
- Lihua Zhang & Weiguo Zhang & Weijun Xu & Xiang Shi, 2014. "A Modified Least-Squares Simulation Approach to Value American Barrier Options," Computational Economics, Springer;Society for Computational Economics, vol. 44(4), pages 489-506, December.
- Liu, Liang-Chih & Dai, Tian-Shyr & Wang, Chuan-Ju, 2016. "Evaluating corporate bonds and analyzing claim holders’ decisions with complex debt structure," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 151-174.
- San-Lin Chung & Pai-Ta Shih, 2007. "Generalized Cox-Ross-Rubinstein Binomial Models," Management Science, INFORMS, vol. 53(3), pages 508-520, March.
- Zvan, R. & Vetzal, K. R. & Forsyth, P. A., 2000. "PDE methods for pricing barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1563-1590, October.
- Dai, Tian-Shyr & Yang, Sharon S. & Liu, Liang-Chih, 2015. "Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 364-379.
- Chung, San-Lin & Shih, Pai-Ta & Tsai, Wei-Che, 2013. "Static hedging and pricing American knock-in put options," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 191-205.
- repec:wsi:ijtafx:v:20:y:2017:i:06:n:s021902491750042x is not listed on IDEAS
- 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.
- 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.
- Simona Sanfelici, 2004. "Galerkin infinite element approximation for pricing barrier options and options with discontinuous payoff," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(2), pages 125-151, December.
- Pelsser, Antoon & Salahnejhad Ghalehjooghi, Ahmad, 2016. "Time-consistent actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 97-112.
- Tian-Shyr Dai & Jr-Yan Wang & Hui-Shan Wei, 2008. "Adaptive placement method on pricing arithmetic average options," Review of Derivatives Research, Springer, vol. 11(1), pages 83-118, March.
- Tianyang Wang & James Dyer & Warren Hahn, 2015. "A copula-based approach for generating lattices," Review of Derivatives Research, Springer, vol. 18(3), pages 263-289, October.
- N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
- 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.
- 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.
- Yang, Sharon S. & Dai, Tian-Shyr, 2013. "A flexible tree for evaluating guaranteed minimum withdrawal benefits under deferred life annuity contracts with various provisions," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 231-242.
- repec:spr:comgts:v:14:y:2017:i:3:d:10.1007_s10287-017-0278-5 is not listed on IDEAS
- 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.
- 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.
- Doobae Jun & Hyejin Ku, 2013. "Valuation of American partial barrier options," Review of Derivatives Research, Springer, vol. 16(2), pages 167-191, July.
- 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.
- Ben R. Craig & Joachim G. Keller, 2003. "The empirical performance of option-based densities of foreign exchange," Working Paper 0313, Federal Reserve Bank of Cleveland.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jfinec:v:53:y:1999:i:3:p:313-351. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/505576 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.