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The Valuation of American Barrier Options Using the Decomposition Technique

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Cited by:

  1. Vidal Nunes, João Pedro & Ruas, João Pedro & Dias, José Carlos, 2015. "Pricing and static hedging of American-style knock-in options on defaultable stocks," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 343-360.
  2. Marc Chesney & Laurent Gauthier, 2006. "American Parisian options," Finance and Stochastics, Springer, vol. 10(4), pages 475-506, December.
  3. Daniel Wei-Chung Miao & Yung-Hsin Lee & Jr-Yan Wang, 2018. "Using forward Monte-Carlo simulation for the valuation of American barrier options," Annals of Operations Research, Springer, vol. 264(1), pages 339-366, May.
  4. 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.
  5. Lu, Jing & Yang, Xiangfeng & Tian, Miao, 2022. "Barrier swaption pricing formulae of mean-reverting model in uncertain environment," Chaos, Solitons & Fractals, Elsevier, vol. 160(C).
  6. Jérôme Detemple, 1999. "American Options: Symmetry Properties," CIRANO Working Papers 99s-45, CIRANO.
  7. Chung, Y. Peter & Johnson, Herb & Polimenis, Vassilis, 2011. "The critical stock price for the American put option," Finance Research Letters, Elsevier, vol. 8(1), pages 8-14, March.
  8. Antonella Basso & Martina Nardon & Paolo Pianca, 2004. "A two-step simulation procedure to analyze the exercise features of American options," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(1), pages 35-56, August.
  9. 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.
  10. 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.
  11. Sircar, Ronnie & Xiong, Wei, 2007. "A general framework for evaluating executive stock options," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2317-2349, July.
  12. 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.
  13. Carl Chiarella & Boda Kang & Gunter H. Meyer, 2010. "The Evaluation Of Barrier Option Prices Under Stochastic Volatility," Research Paper Series 266, Quantitative Finance Research Centre, University of Technology, Sydney.
  14. Das, Sanjiv R. & Kim, Seoyoung, 2015. "Credit spreads with dynamic debt," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 121-140.
  15. Song-Ping Zhu & Nhat-Tan Le & Wen-Ting Chen & Xiaoping Lu, 2015. "Pricing Parisian down-and-in options," Papers 1511.01564, arXiv.org.
  16. Detemple, Jérôme & Emmerling, Thomas, 2009. "American chooser options," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 128-153, January.
  17. Wei Xiong & Ronnie Sircar, 2004. "Evaluating Incentive Options," Econometric Society 2004 North American Winter Meetings 253, Econometric Society.
  18. Tebaldi, Claudio, 2005. "Hedging using simulation: a least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
  19. Ludovic Mathys, 2019. "On Extensions of the Barone-Adesi & Whaley Method to Price American-Type Options," Papers 1912.00454, arXiv.org.
  20. Dai, Min & Li, Peifan & Zhang, Jin E., 2010. "A lattice algorithm for pricing moving average barrier options," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 542-554, March.
  21. J. C. Ndogmo & D. B. Ntwiga, 2007. "High-order accurate implicit methods for the pricing of barrier options," Papers 0710.0069, arXiv.org.
  22. Minh Ha-Duong & Benoit Morel, 2003. "The real option with an absorbing barrier," Post-Print halshs-00003976, HAL.
  23. Vidal Nunes, João Pedro & Ruas, João Pedro & Dias, José Carlos, 2020. "Early exercise boundaries for American-style knock-out options," European Journal of Operational Research, Elsevier, vol. 285(2), pages 753-766.
  24. 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.
  25. Gregor Dorfleitner & Paul Schneider & Kurt Hawlitschek & Arne Buch, 2008. "Pricing options with Green's functions when volatility, interest rate and barriers depend on time," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 119-133.
  26. Jérôme Detemple & Weidong Tian, 2002. "The Valuation of American Options for a Class of Diffusion Processes," Management Science, INFORMS, vol. 48(7), pages 917-937, July.
  27. Mark Broadie & Jerome B. Detemple, 2004. "ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications," Management Science, INFORMS, vol. 50(9), pages 1145-1177, September.
  28. Roland Mallier & Ghada Alobaidi, 2000. "Laplace transforms and American options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(4), pages 241-256.
  29. Kabby, Williams, 2022. "The valuation of barrier options prices : A methods review," MPRA Paper 117460, University Library of Munich, Germany, revised 12 Aug 2022.
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