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The Valuation of American Options on Multiple Assets

Citations

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Cited by:

  1. Arve, Malin & Zwart, Gijsbert, 2023. "Optimal procurement and investment in new technologies under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
  2. Lian, Yu-Min & Chen, Jun-Home & Liao, Szu-Lang, 2021. "Cojump risks and their impacts on option pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 399-410.
  3. Jerome Detemple & Yerkin Kitapbayev, 2021. "Optimal Power Investment and Pandemics: A Micro-Economic Analysis," Energies, MDPI, vol. 14(4), pages 1-25, February.
  4. S H Martzoukos, 2009. "Real R&D options and optimal activation of two-dimensional random controls," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 60(6), pages 843-858, June.
  5. Michi Nishihara & Takashi Sshibata, 2011. "Investment timing with fixed and proportional costs of external financing," Discussion Papers in Economics and Business 11-29, Osaka University, Graduate School of Economics.
  6. Min Dai & Zuo Quan Xu, 2009. "Optimal Redeeming Strategy of Stock Loans," Papers 0906.0702, arXiv.org.
  7. 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.
  8. Jérôme Detemple, 1999. "American Options: Symmetry Properties," CIRANO Working Papers 99s-45, CIRANO.
  9. S. Dyrting, 2004. "Pricing equity options everywhere," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 663-676.
  10. Nishihara, Michi & Shibata, Takashi, 2013. "The effects of external financing costs on investment timing and sizing decisions," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1160-1175.
  11. Gerald Cheang & Carl Chiarella, 2011. "Exchange Options Under Jump-Diffusion Dynamics," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(3), pages 245-276.
  12. Michi Nishihara, 2010. "A model for determining whether a firm should exercise multiple real options individually or simultaneously," Discussion Papers in Economics and Business 10-12, Osaka University, Graduate School of Economics.
  13. Jérôme Detemple, 2014. "Optimal Exercise for Derivative Securities," Annual Review of Financial Economics, Annual Reviews, vol. 6(1), pages 459-487, December.
  14. Martzoukos, Spiros H., 2001. "The option on n assets with exchange rate and exercise price risk," Journal of Multinational Financial Management, Elsevier, vol. 11(1), pages 1-15, February.
  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. Yoram Landskroner & Alon Raviv, 2008. "The valuation of inflation‐indexed and FX convertible bonds," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(7), pages 634-655, July.
  17. Olkhov, Victor, 2020. "Classical Option Pricing and Some Steps Further," MPRA Paper 105431, University Library of Munich, Germany, revised 28 Dec 2020.
  18. Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 12, July-Dece.
  19. Rombouts, Jeroen V.K. & Stentoft, Lars, 2011. "Multivariate option pricing with time varying volatility and correlations," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2267-2281, September.
  20. Ravi Kashyap, 2022. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, vol. 315(2), pages 1175-1215, August.
  21. Christian Bayer & Ra'ul Tempone & Soren Wolfers, 2018. "Pricing American Options by Exercise Rate Optimization," Papers 1809.07300, arXiv.org, revised Aug 2019.
  22. Masahiko Egami & Tadao Oryu, 2010. "Options on Multiple Assets in a Mean-Reverting Model," Discussion papers e-10-005, Graduate School of Economics Project Center, Kyoto University.
  23. 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-.
  24. Lian, Yu-Min & Chen, Jun-Home, 2020. "Joint dynamic modeling and option pricing in incomplete derivative-security market," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  25. Len Patrick Dominic M. Garces & Gerald H. L. Cheang, 2021. "A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2025-2054, December.
  26. A. Max Reppen & H. Mete Soner & Valentin Tissot-Daguette, 2022. "Neural Optimal Stopping Boundary," Papers 2205.04595, arXiv.org, revised May 2023.
  27. 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.
  28. Hangsuck Lee & Seongjoo Song & Gaeun Lee, 2023. "Insurance guaranty premiums and exchange options," Mathematics and Financial Economics, Springer, volume 17, number 3, June.
  29. Tomonori Nakatsu, 2017. "An Integration by Parts Type Formula for Stopping Times and its Application," Methodology and Computing in Applied Probability, Springer, vol. 19(3), pages 751-773, September.
  30. Detemple, Jérôme & Emmerling, Thomas, 2009. "American chooser options," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 128-153, January.
  31. Nishihara, Michi, 2014. "Preemptive investment game with alternative projects," Economic Modelling, Elsevier, vol. 43(C), pages 124-135.
  32. Leif Andersen & Mark Broadie, 2004. "Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options," Management Science, INFORMS, vol. 50(9), pages 1222-1234, September.
  33. Peter W. Duck & Chao Yang & David P. Newton & Martin Widdicks, 2009. "Singular Perturbation Techniques Applied To Multiasset Option Pricing," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 457-486, July.
  34. Bobtcheff, Catherine & Villeneuve, Stéphane, 2010. "Technology choice under several uncertainty sources," European Journal of Operational Research, Elsevier, vol. 206(3), pages 586-600, November.
  35. 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.
  36. A. Max Reppen & H. Mete Soner & Valentin Tissot-Daguette, 2023. "Deep stochastic optimization in finance," Digital Finance, Springer, vol. 5(1), pages 91-111, March.
  37. 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.
  38. Ravi Kashyap, 2016. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Papers 1609.01274, arXiv.org, revised Mar 2022.
  39. Guanghua Lian & Robert J. Elliott & Petko Kalev & Zhaojun Yang, 2022. "Approximate pricing of American exchange options with jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(6), pages 983-1001, June.
  40. Ali Nasir & Ambreen Khursheed & Kazim Ali & Faisal Mustafa, 2021. "A Markov Decision Process Model for Optimal Trade of Options Using Statistical Data," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 327-346, August.
  41. Detemple, Jerome & Kitapbayev, Yerkin, 2020. "The value of green energy under regulation uncertainty," Energy Economics, Elsevier, vol. 89(C).
  42. Christensen Sören & Irle Albrecht, 2013. "American Options with guarantee – A class of two-sided stopping problems," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 237-254, August.
  43. J. C. Arismendi & Marcel Prokopczuk, 2016. "A moment-based analytic approximation of the risk-neutral density of American options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 23(6), pages 409-444, November.
  44. Bradley Sturt, 2021. "A nonparametric algorithm for optimal stopping based on robust optimization," Papers 2103.03300, arXiv.org, revised Mar 2023.
  45. 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.
  46. 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.
  47. A. Max Reppen & H. Mete Soner & Valentin Tissot-Daguette, 2022. "Deep Stochastic Optimization in Finance," Papers 2205.04604, arXiv.org.
  48. 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.
  49. Katsushi Nakajima & Kazuhiko Ohashi, 2016. "Commodity Spread Option with Cointegration," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(1), pages 1-44, March.
  50. Jerome Detemple & Yerkin Kitapbayev, 2018. "Optimal Investment under Cost Uncertainty," Risks, MDPI, vol. 6(1), pages 1-19, January.
  51. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  52. Bakke, Ida & Fleten, Stein-Erik & Hagfors, Lars Ivar & Hagspiel, Verena & Norheim, Beate, 2016. "Investment in mutually exclusive transmission projects under policy uncertainty," Journal of Commodity Markets, Elsevier, vol. 3(1), pages 54-69.
  53. Zakaria Marah, 2023. "American Exchange option driven by a L\'evy process," Papers 2307.10900, arXiv.org.
  54. 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.
  55. Dean Paxson, 2007. "Sequential American Exchange Property Options," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 135-157, January.
  56. Doan, Viet_Dung & Gaikwad, Abhijeet & Bossy, Mireille & Baude, Françoise & Stokes-Rees, Ian, 2010. "Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(3), pages 568-577.
  57. Detemple, Jerome & Kitapbayev, Yerkin, 2022. "Optimal technology adoption for power generation," Energy Economics, Elsevier, vol. 111(C).
  58. Jonathan Ziveyi, 2011. "The Evaluation of Early Exercise Exotic Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2011.
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