PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
暂无分享,去创建一个
[1] M. Yor,et al. The Fine Structure of Asset Retums : An Empirical Investigation ' , 2006 .
[2] P. Carr. Randomization and the American Put , 1996 .
[3] Y. Kwok. Mathematical models of financial derivatives , 2008 .
[4] Andrew Matacz,et al. Financial Modeling and Option Theory with the Truncated Levy Process , 1997, cond-mat/9710197.
[5] S. Levendorskii,et al. Perpetual American options under Levy processes , 2002, Proceedings of the 41st IEEE Conference on Decision and Control, 2002..
[6] S. Levendorskii,et al. Pricing of perpetual Bermudan options , 2002 .
[7] Guy Barles,et al. CRITICAL STOCK PRICE NEAR EXPIRATION , 1995 .
[8] Ernst Eberlein,et al. Term Structure Models Driven by General Lévy Processes , 1999 .
[9] P. Wilmott,et al. Option pricing: Mathematical models and computation , 1994 .
[10] Philip Protter,et al. An analysis of a least squares regression method for American option pricing , 2002, Finance Stochastics.
[11] Damien Lamberton. Critical Price for an American Option near Maturity , 1995 .
[12] M. Potters,et al. Theory of Financial Risk , 1997 .
[13] Koponen,et al. Analytic approach to the problem of convergence of truncated Lévy flights towards the Gaussian stochastic process. , 1995, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics.
[14] O. Barndorff-Nielsen. Exponentially decreasing distributions for the logarithm of particle size , 1977, Proceedings of the Royal Society of London. A. Mathematical and Physical Sciences.
[15] J. Bouchaud,et al. Scaling in Stock Market Data: Stable Laws and Beyond , 1997, cond-mat/9705087.
[16] Francis A. Longstaff,et al. Valuing American Options by Simulation: A Simple Least-Squares Approach , 2001 .
[17] E. Eberlein,et al. Hyperbolic distributions in finance , 1995 .
[18] Ole E. Barndorff-Nielsen,et al. Processes of normal inverse Gaussian type , 1997, Finance Stochastics.
[19] P. Carr,et al. The Variance Gamma Process and Option Pricing , 1998 .
[20] F. Delbaen,et al. A general version of the fundamental theorem of asset pricing , 1994 .
[21] E. Eberlein,et al. New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model , 1998 .
[22] L. C. G. Rogers,et al. Optimal capital structure and endogenous default , 2002, Finance Stochastics.
[23] Sergei Levendorskii,et al. Feller processes of normal inverse Gaussian type , 2001 .
[24] Svetlana Boyarchenko,et al. OPTION PRICING FOR TRUNCATED LÉVY PROCESSES , 2000 .
[25] Peter Carr,et al. Fast Accurate Valuation of American Options , 1994 .
[26] Stanley,et al. Stochastic process with ultraslow convergence to a Gaussian: The truncated Lévy flight. , 1994, Physical review letters.