Pricing and Hedging American Options Using Approximations by Kim Integral Equations
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- Detemple, Jérôme & Emmerling, Thomas, 2009. "American chooser options," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 128-153, January.
- Andrew Ziogas & Carl Chiarella, 2004.
"Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions,"
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177, Society for Computational Economics.
- Carl Chiarella & Andrew Ziogas, 2005. "Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions," Research Paper Series 145, Quantitative Finance Research Centre, University of Technology, Sydney.
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- Shen, Yang & Sherris, Michael & Ziveyi, Jonathan, 2016. "Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 127-137.
- Doriana Ruffino & Jonathan Treussard, 2006.
"Lumps and Clusters in Duopolistic Investment Games: An Early Exercise Premium Approach,"
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- Jonathan Treussard & Doriana Ruffino, 2007. "Lumps and Clusters in Duopolistic Investment Games: An Early Exercise Premium Approach," 2007 Meeting Papers 77, Society for Economic Dynamics.
- 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.
- Carl Chiarella & Jonathan Ziveyi, 2014. "Pricing American options written on two underlying assets," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 409-426, March.
- Carl Chiarella & Andrew Ziogas, 2006. "American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach," Research Paper Series 174, Quantitative Finance Research Centre, University of Technology, Sydney.
- Thomas Adolfsson & Carl Chiarella & Andrew Ziogas & Jonathan Ziveyi, 2013. "Representation and Numerical Approximation of American Option Prices under Heston Stochastic Volatility Dynamics," Research Paper Series 327, Quantitative Finance Research Centre, University of Technology, Sydney.
- Minqiang Li, 2010.
"Analytical approximations for the critical stock prices of American options: a performance comparison,"
Review of Derivatives Research,
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- Minqiang Li, Li, 2009. "Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison," MPRA Paper 15018, University Library of Munich, Germany.
- Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 12.
- Song-Ping Zhu & Jing Zhang, 2012. "How should a convertible bond be decomposed?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 35(2), pages 113-149, November.
- repec:eee:spapps:v:127:y:2017:i:10:p:3447-3464 is not listed on IDEAS
- Liu, Yanchu & Cui, Zhenyu & Zhang, Ning, 2016. "Integral representation of vega for American put options," Finance Research Letters, Elsevier, vol. 19(C), pages 204-208.
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- Andrew Ziogas, 2005. "Pricing American Options Using Fourier Analysis," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 29.
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