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Option pricing: A simplified approach

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Cited by:

  1. Zhao, Yingxue & Yang, Liu & Cheng, T.C.E. & Ma, Lijun & Shao, Xinjian, 2013. "A value-based approach to option pricing: The case of supply chain options," International Journal of Production Economics, Elsevier, vol. 143(1), pages 171-177.
  2. d’Amato, Maurizio & Zrobek, Sabina & Renigier Bilozor, Malgorzata & Walacik, Marek & Mercadante, Giuseppe, 2019. "Valuing the effect of the change of zoning on underdeveloped land using fuzzy real option approach," Land Use Policy, Elsevier, vol. 86(C), pages 365-374.
  3. L. Ingber, 2018. "Quantum path integral for financial options," Lester Ingber Papers 18qp, Lester Ingber.
  4. Beliaeva, Natalia & Nawalkha, Sanjay, 2012. "Pricing American interest rate options under the jump-extended constant-elasticity-of-variance short rate models," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 151-163.
  5. Hartmann, Marcus & Hassan, Ali, 2006. "Application of real options analysis for pharmaceutical R&D project valuation--Empirical results from a survey," Research Policy, Elsevier, vol. 35(3), pages 343-354, April.
  6. Olena Burkovska & Maximilian Ga{ss} & Kathrin Glau & Mirco Mahlstedt & Wim Schoutens & Barbara Wohlmuth, 2016. "Calibration to American Options: Numerical Investigation of the de-Americanization," Papers 1611.06181, arXiv.org.
  7. Norden, Lars, 2003. "Asymmetric option price distribution and bid-ask quotes: consequences for implied volatility smiles," Journal of Multinational Financial Management, Elsevier, vol. 13(4-5), pages 423-441, December.
  8. Koussis, Nicos & Martzoukos, Spiros H. & Trigeorgis, Lenos, 2017. "Corporate liquidity and dividend policy under uncertainty," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 221-235.
  9. Ralf Korn & Stefanie Müller, 2013. "The optimal-drift model: an accelerated binomial scheme," Finance and Stochastics, Springer, vol. 17(1), pages 135-160, January.
  10. Min Dai, 2003. "One-state variable binomial models for European-/American-style geometric Asian options," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 288-295.
  11. Dybvig, Philip H. & Gong, Ning & Schwartz, Rachel, 2000. "Bias of Damage Awards and Free Options in Securities Litigation," Journal of Financial Intermediation, Elsevier, vol. 9(2), pages 149-168, April.
  12. Cuny, Charles J. & Jorion, Philippe, 1995. "Valuing executive stock options with endogenous departure," Journal of Accounting and Economics, Elsevier, vol. 20(2), pages 193-205, September.
  13. Turan G. Bali & Armen Hovakimian, 2009. "Volatility Spreads and Expected Stock Returns," Management Science, INFORMS, vol. 55(11), pages 1797-1812, November.
  14. Omid M. Ardakani, 2022. "Option pricing with maximum entropy densities: The inclusion of higher‐order moments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1821-1836, October.
  15. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, July-Dece.
  16. Kyng, T. & Konstandatos, O. & Bienek, T., 2016. "Valuation of employee stock options using the exercise multiple approach and life tables," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 17-26.
  17. David M. Kreps & Walter Schachermayer, 2020. "Convergence of optimal expected utility for a sequence of discrete‐time markets," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1205-1228, October.
  18. Jean-Luc Prigent, 2001. "Option Pricing with a General Marked Point Process," Mathematics of Operations Research, INFORMS, vol. 26(1), pages 50-66, February.
  19. 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.
  20. Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007. "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
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  22. Bowman, David & Faust, Jon, 1997. "Options, Sunspots, and the Creation of Uncertainty," Journal of Political Economy, University of Chicago Press, vol. 105(5), pages 957-975, October.
  23. Valeri Zakamouline, 2005. "A unified approach to portfolio optimization with linear transaction costs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 62(2), pages 319-343, November.
  24. Jeon, Junkee & Kwak, Minsuk, 2018. "Optimal surrender strategies and valuations of path-dependent guarantees in variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 93-109.
  25. Yue Kwok & Lixin Wu, 2000. "Effects of Callable Feature on Early Exercise Policy," Review of Derivatives Research, Springer, vol. 4(2), pages 189-211, May.
  26. Seoungbeom Na & Kyeongseok Kim & Woosik Jang & Changgeun Lee, 2022. "Real Options Analysis for Land and Water Solar Deployment in Idle Areas of Agricultural Dam: A Case Study of South Korea," Sustainability, MDPI, vol. 14(4), pages 1-17, February.
  27. Ter Horst, J.R. & Veld, C.H., 2002. "Behavioral Preferences for Individual Securities : The Case for Call Warrants and Call Options," Discussion Paper 2002-95, Tilburg University, Center for Economic Research.
  28. DeMarzo, Peter M. & Kremer, Ilan & Mansour, Yishay, 2016. "Robust option pricing: Hannan and Blackwell meet Black and Scholes," Journal of Economic Theory, Elsevier, vol. 163(C), pages 410-434.
  29. Shafiee, Shahriar & Topal, Erkan, 2010. "A long-term view of worldwide fossil fuel prices," Applied Energy, Elsevier, vol. 87(3), pages 988-1000, March.
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  31. Hyong-chol O & Song-gon Jang & Il-Gwang Jon & Mun-Chol Kim & Gyong-Ryol Kim & Hak-Yong Kim, 2015. "The Binomial Tree Method and Explicit Difference Schemes for American Options with Time Dependent Coefficients," Papers 1505.04573, arXiv.org, revised Aug 2018.
  32. Jimmy E. Hilliard, 2014. "Robust binomial lattices for univariate and multivariate applications: choosing probabilities to match local densities," Quantitative Finance, Taylor & Francis Journals, vol. 14(1), pages 101-110, January.
  33. Ben-Ameur, Hatem & de Frutos, Javier & Fakhfakh, Tarek & Diaby, Vacaba, 2013. "Upper and lower bounds for convex value functions of derivative contracts," Economic Modelling, Elsevier, vol. 34(C), pages 69-75.
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  41. Helga Meier & Nicos Christofides & Gerry Salkin, 2001. "Capital Budgeting Under Uncertainty---An Integrated Approach Using Contingent Claims Analysis and Integer Programming," Operations Research, INFORMS, vol. 49(2), pages 196-206, April.
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  44. Kamel, Ahmed & Elwageeh, Mohamed & Bonduà, Stefano & Elkarmoty, Mohamed, 2023. "Evaluation of mining projects subjected to economic uncertainties using the Monte Carlo simulation and the binomial tree method: Case study in a phosphate mine in Egypt," Resources Policy, Elsevier, vol. 80(C).
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  46. Tianyang Wang & James S. Dyer, 2010. "Valuing Multifactor Real Options Using an Implied Binomial Tree," Decision Analysis, INFORMS, vol. 7(2), pages 185-195, June.
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  48. Chambers, David, 2019. "Commodity Option Pricing Efficiency before Black Scholes Merton," CEPR Discussion Papers 13975, C.E.P.R. Discussion Papers.
  49. Dong Zou & Pu Gong, 2017. "A Lattice Framework with Smooth Convergence for Pricing Real Estate Derivatives with Stochastic Interest Rate," The Journal of Real Estate Finance and Economics, Springer, vol. 55(2), pages 242-263, August.
  50. Michael L. McIntyre, 2022. "Capital structure in an option-theoretic setting," SN Business & Economics, Springer, vol. 2(8), pages 1-24, August.
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  53. Yerkin Kitapbayev, 2019. "Closed form optimal exercise boundary of the American put option," Papers 1912.05438, arXiv.org, revised Jan 2021.
  54. Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2020. "Option Pricing Incorporating Factor Dynamics in Complete Markets," JRFM, MDPI, vol. 13(12), pages 1-33, December.
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