A two-step simulation procedure to analyze the exercise features of American options
No abstract is available for this item.
Volume (Year): 27 (2004)
Issue (Month): 1 (08)
|Contact details of provider:|| Web page: http://www.springer.com|
Web page: http://www.amases.org/
|Order Information:||Web: http://www.springer.com/economics/economic+theory/journal/10203/PS2|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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-.
- Geske, Robert & Shastri, Kuldeep, 1985. "The early exercise of American puts," Journal of Banking & Finance, Elsevier, vol. 9(2), pages 207-219, June.
- David S. Bunch & Herb Johnson, 2000. "The American Put Option and Its Critical Stock Price," Journal of Finance, American Finance Association, vol. 55(5), pages 2333-2356, October.
- Peter Carr & Robert Jarrow & Ravi Myneni, 1992. "Alternative Characterizations Of American Put Options," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 87-106.
- 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.
- Sullivan, Michael A, 2000. "Valuing American Put Options Using Gaussian Quadrature," Review of Financial Studies, Society for Financial Studies, vol. 13(1), pages 75-94.
- Walter Allegretto & Giovanni Barone-Adesi & Robert Elliott, 1995. "Numerical evaluation of the critical price and American options," The European Journal of Finance, Taylor & Francis Journals, vol. 1(1), pages 69-78.
- Barraquand, Jérôme & Martineau, Didier, 1995. "Numerical Valuation of High Dimensional Multivariate American Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(03), pages 383-405, September.
- 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 627-46.
- Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
- S. D. Jacka, 1991. "Optimal Stopping and the American Put," Mathematical Finance, Wiley Blackwell, vol. 1(2), pages 1-14.
When requesting a correction, please mention this item's handle: RePEc:spr:decfin:v:27:y:2004:i:1:p:35-56. 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: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.