On the methods of pricing American options: case study
暂无分享,去创建一个
Ömür Ugur | Burcu Aydogan | Ümit Aksoy | Ü. Aksoy | Burcu Aydoğan | Ö. Uğur
[1] F. Black. Fact and Fantasy in the Use of Options , 1975 .
[2] C. Cryer. The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation , 1971 .
[3] P. Boyle. A Lattice Framework for Option Pricing with Two State Variables , 1988, Journal of Financial and Quantitative Analysis.
[4] M. Gilli,et al. Implementing Binomial Trees , 2009 .
[5] Georges Courtadon,et al. A More Accurate Finite Difference Approximation for the Valuation of Options , 1982, Journal of Financial and Quantitative Analysis.
[6] San-Lin Chung,et al. Pricing American Options Using Monte Carlo Simulation , 2002 .
[7] John N. Tsitsiklis,et al. Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives , 1999, IEEE Trans. Autom. Control..
[8] R. Geske. THE VALUATION OF COMPOUND OPTIONS , 1979 .
[9] Petter Bjerksund,et al. CLOSED FORM VALUATION OF AMERICAN OPTIONS , 2002 .
[10] Eduardo S. Schwartz,et al. Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis , 1977 .
[11] Zhemin Wu. Pricing American Options using Monte Carlo Method , 2012 .
[12] Ömür Uğur,et al. An Introduction to Computational Finance , 2008 .
[13] Mark Broadie,et al. A Primal-Dual Simulation Algorithm for Pricing Multi-Dimensional American Options , 2001 .
[14] G. Barone-Adesi,et al. Efficient Analytic Approximation of American Option Values , 1987 .
[15] R. Roll,et al. An analytic valuation formula for unprotected American call options on stocks with known dividends , 1977 .
[16] James A. Tilley. Valuing American Options in a Path Simulation Model , 2002 .
[17] L. Rogers. Monte Carlo valuation of American options , 2002 .
[18] Petter Bjerksund,et al. Closed-form approximation of American options , 1993 .
[19] P. Carr. Randomization and the American Put , 1996 .
[20] Espen Gaarder Haug,et al. Back to Basics: a new approach to the discrete dividend problem , 2003 .
[21] Martin B. Haugh,et al. Pricing American Options: A Duality Approach , 2001, Oper. Res..
[22] S. Ross,et al. Option pricing: A simplified approach☆ , 1979 .
[23] R. Noyé,et al. Numerical Solutions of Partial Differential Equations , 1983 .
[24] J. Carriére. Valuation of the early-exercise price for options using simulations and nonparametric regression , 1996 .
[25] Jérôme Barraquand,et al. Numerical Valuation of High Dimensional Multivariate American Securities , 1995, Journal of Financial and Quantitative Analysis.
[26] Fernando Zapatero,et al. Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier , 2000, Journal of Financial and Quantitative Analysis.
[27] Philip Protter,et al. An analysis of a least squares regression method for American option pricing , 2002, Finance Stochastics.
[28] Eduardo S. Schwartz. The valuation of warrants: Implementing a new approach , 1977 .
[29] Francis A. Longstaff,et al. Valuing American Options by Simulation: A Simple Least-Squares Approach , 2001 .
[30] J. Crank,et al. A practical method for numerical evaluation of solutions of partial differential equations of the heat-conduction type , 1947 .
[31] Y. Kwok. Mathematical models of financial derivatives , 2008 .
[32] R. Geske. Comments on Whaley's note , 1981 .
[33] Robert E. Whaley,et al. On the valuation of American call options on stocks with known dividends , 1981 .