Battauz, Anna; De Donno, Marzia; Gajda, Janusz; Sbuelz, Alessandro Optimal exercise of American put options near maturity: a new economic perspective. (English) Zbl 1495.91119 Rev. Deriv. Res. 25, No. 1, 23-46 (2022). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{A. Battauz} et al., Rev. Deriv. Res. 25, No. 1, 23--46 (2022; Zbl 1495.91119) Full Text: DOI
Liu, Yue; Yang, Aijun; Lin, Jinguan; Yao, Jingjing A new method of valuing American options based on Brownian models. (English) Zbl 07532173 Commun. Stat., Theory Methods 50, No. 20, 4809-4821 (2021). MSC: 62-XX PDFBibTeX XMLCite \textit{Y. Liu} et al., Commun. Stat., Theory Methods 50, No. 20, 4809--4821 (2021; Zbl 07532173) Full Text: DOI
in ’t Hout, Karel; Valkov, Radoslav L. Numerical study of splitting methods for American option valuation. (English) Zbl 1420.91511 Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 373-398 (2017). MSC: 91G60 65M99 91G20 60G40 PDFBibTeX XMLCite \textit{K. in 't Hout} and \textit{R. L. Valkov}, Math. Ind. 25, 373--398 (2017; Zbl 1420.91511) Full Text: DOI arXiv
Li, Wen; Wang, Song Pricing American options under proportional transaction costs using a penalty approach and a finite difference scheme. (English) Zbl 1276.49016 J. Ind. Manag. Optim. 9, No. 2, 365-389 (2013). MSC: 49L20 49L25 65M06 91G60 91G10 PDFBibTeX XMLCite \textit{W. Li} and \textit{S. Wang}, J. Ind. Manag. Optim. 9, No. 2, 365--389 (2013; Zbl 1276.49016) Full Text: DOI
Tonkes, Elliot; Lesmono, Dharma A Longstaff and Schwartz approach to the early election problem. (English) Zbl 1254.91129 Adv. Decis. Sci. 2012, Article ID 287579, 18 p. (2012). MSC: 91B12 91F10 91G60 91G20 PDFBibTeX XMLCite \textit{E. Tonkes} and \textit{D. Lesmono}, Adv. Decis. Sci. 2012, Article ID 287579, 18 p. (2012; Zbl 1254.91129) Full Text: DOI Link
Kimura, Toshikazu American fractional lookback options: valuation and premium decomposition. (English) Zbl 1229.91312 SIAM J. Appl. Math. 71, No. 2, 517-539 (2011). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 91G60 PDFBibTeX XMLCite \textit{T. Kimura}, SIAM J. Appl. Math. 71, No. 2, 517--539 (2011; Zbl 1229.91312) Full Text: DOI Link
Elliott, Robert J.; Siu, Tak Kuen Pricing and hedging contingent claims with regime switching risk. (English) Zbl 1216.91032 Commun. Math. Sci. 9, No. 2, 477-498 (2011). MSC: 91G20 60H30 PDFBibTeX XMLCite \textit{R. J. Elliott} and \textit{T. K. Siu}, Commun. Math. Sci. 9, No. 2, 477--498 (2011; Zbl 1216.91032) Full Text: DOI Euclid
Chaudhury, Mo Upper bounds for American options. (English) Zbl 1173.91380 Chen, Andrew H. (ed.), Research in finance. Amsterdam: Elsevier/JAI (ISBN 0-7623-1345-5/hbk). Research in Finance 23, 161-191 (2007). MSC: 91B28 PDFBibTeX XMLCite \textit{M. Chaudhury}, in: Research in finance. Amsterdam: Elsevier/JAI. 161--191 (2007; Zbl 1173.91380) Full Text: DOI
Zhao, Shan; Wei, G. W. Option valuation by using discrete singular convolution. (English) Zbl 1096.91034 Appl. Math. Comput. 167, No. 1, 383-418 (2005). MSC: 91B28 PDFBibTeX XMLCite \textit{S. Zhao} and \textit{G. W. Wei}, Appl. Math. Comput. 167, No. 1, 383--418 (2005; Zbl 1096.91034) Full Text: DOI
Janicki, Aleksander; Wybraniec, Jacek Bounds for the range of American contingent claim prices in the jump-diffusion model. (English) Zbl 1071.60047 Appl. Math. 32, No. 1, 103-118 (2005). Reviewer: Klaus Schürger (Bonn) MSC: 60H10 60J65 91G20 60G40 60J75 PDFBibTeX XMLCite \textit{A. Janicki} and \textit{J. Wybraniec}, Appl. Math. 32, No. 1, 103--118 (2005; Zbl 1071.60047) Full Text: DOI
Heston, Steven L. Option valuation with infinitely divisible distributions. (English) Zbl 1405.91623 Quant. Finance 4, No. 5, 515-524 (2004). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{S. L. Heston}, Quant. Finance 4, No. 5, 515--524 (2004; Zbl 1405.91623) Full Text: DOI
Benth, F. E.; Karlsen, K. H.; Reikvam, K. A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence. (English) Zbl 1068.35190 Interfaces Free Bound. 6, No. 4, 379-404 (2004). Reviewer: Stanisław Wedrychowicz (Rzeszów) MSC: 35R60 91B28 65C30 PDFBibTeX XMLCite \textit{F. E. Benth} et al., Interfaces Free Bound. 6, No. 4, 379--404 (2004; Zbl 1068.35190) Full Text: DOI
Musiela, Marek; Zariphopoulou, Thaleia Indifference prices of early exercise claims. (English) Zbl 1101.91044 Yin, George (ed.) et al., Mathematics of finance. Proceedings of an AMS-IMS-SIAM joint summer research conference on mathematics of finance, June 22–26, 2003, Snowbird, Utah, USA. Providence, RI: American Mathematical Society (AMS) (ISBN 0-8218-3412-6/pbk). Contemporary Mathematics 351, 259-271 (2004). MSC: 91G20 49L25 93E20 PDFBibTeX XMLCite \textit{M. Musiela} and \textit{T. Zariphopoulou}, Contemp. Math. 351, 259--271 (2004; Zbl 1101.91044)
Detemple, Jerome; Feng, Shui; Tian, Weidong The valuation of American call options on the minimum of two dividend-paying assets. (English) Zbl 1091.91034 Ann. Appl. Probab. 13, No. 3, 953-983 (2003). MSC: 91B28 60G40 62L15 PDFBibTeX XMLCite \textit{J. Detemple} et al., Ann. Appl. Probab. 13, No. 3, 953--983 (2003; Zbl 1091.91034) Full Text: DOI
Yoshida, Yuji A discrete-time model of American put option in an uncertain environment. (English) Zbl 1112.91328 Eur. J. Oper. Res. 151, No. 1, 153-166 (2003). MSC: 91G20 60G40 PDFBibTeX XMLCite \textit{Y. Yoshida}, Eur. J. Oper. Res. 151, No. 1, 153--166 (2003; Zbl 1112.91328) Full Text: DOI
Detemple, Jérôme; Tian, Weidong The valuation of American options for a class of diffusion processes. (English) Zbl 1232.91660 Manage. Sci. 48, No. 7, 917-937 (2002). MSC: 91G20 91G30 PDFBibTeX XMLCite \textit{J. Detemple} and \textit{W. Tian}, Manage. Sci. 48, No. 7, 917--937 (2002; Zbl 1232.91660) Full Text: DOI
Pantazopoulos, K. N.; Houstis, E. N.; Kortesis, S. Front-tracking finite difference methods for the valuation of American options. (English) Zbl 0913.90022 Comput. Econ. 12, No. 3, 255-273 (1998). MSC: 91B28 PDFBibTeX XMLCite \textit{K. N. Pantazopoulos} et al., Comput. Econ. 12, No. 3, 255--273 (1998; Zbl 0913.90022) Full Text: DOI
Grant, Dwight; Vora, Gautam; Weeks, David Path-dependent options: Extending the Monte Carlo simulation approach. (English) Zbl 0902.90006 Manage. Sci. 43, No. 11, 1589-1602 (1997). MSC: 91G60 PDFBibTeX XMLCite \textit{D. Grant} et al., Manage. Sci. 43, No. 11, 1589--1602 (1997; Zbl 0902.90006) Full Text: DOI
Zhang, Xiaolan Valuation of American options in a jump-diffusion model. (English) Zbl 0898.90038 Rogers, L. C. G. (ed.) et al., Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 93-114 (1997). MSC: 91B28 60H15 60J75 60J70 PDFBibTeX XMLCite \textit{X. Zhang}, in: Numerical methods in finance. Session at the Isaac Newton Institute, Cambridge, GB, 1995. Cambridge: Cambridge Univ. Press. 93--114 (1997; Zbl 0898.90038)
Barraquand, Jérôme; Pudet, Thierry Pricing of American path-dependent contingent claims. (English) Zbl 0919.90005 Math. Finance 6, No. 1, 17-51 (1996). MSC: 91G20 60G40 35Q91 PDFBibTeX XMLCite \textit{J. Barraquand} and \textit{T. Pudet}, Math. Finance 6, No. 1, 17--51 (1996; Zbl 0919.90005) Full Text: DOI
Amin, Kaushik I.; Jarrow, Robert A. Pricing options on risky assets in a stochastic interest rate economy. (English) Zbl 0900.90097 Math. Finance 2, No. 4, 217-237 (1992). MSC: 91G30 91B24 91G10 PDFBibTeX XMLCite \textit{K. I. Amin} and \textit{R. A. Jarrow}, Math. Finance 2, No. 4, 217--237 (1992; Zbl 0900.90097) Full Text: DOI Link
Barone-Adesi, Giovanni; Elliott, Robert J. Approximations for the values of American options. (English) Zbl 0729.60056 Stochastic Anal. Appl. 9, No. 2, 115-131 (1991). MSC: 60H15 PDFBibTeX XMLCite \textit{G. Barone-Adesi} and \textit{R. J. Elliott}, Stochastic Anal. Appl. 9, No. 2, 115--131 (1991; Zbl 0729.60056) Full Text: DOI