The following pages link to On the theory of option pricing (Q760330):
Displaying 50 items.
- The early exercise premium representation for American options on multiply assets (Q253081) (← links)
- Valuation of the prepayment option of a perpetual corporate loan (Q370357) (← links)
- Numerical pricing of financial derivatives using Jain's high-order compact scheme (Q387081) (← links)
- An integer programming model for pricing American contingent claims under transaction costs (Q429815) (← links)
- Semi-parametric estimation of American option prices (Q528168) (← links)
- An adaptive extrapolation discontinuous Galerkin method for the valuation of Asian options (Q534248) (← links)
- On the convergence from discrete to continuous time in an optimal stopping problem. (Q558676) (← links)
- Monte Carlo algorithms for optimal stopping and statistical learning (Q558680) (← links)
- The application of backward stochastic differential equation with stopping time in hedging American contingent claims (Q603497) (← links)
- An analytic formula for the price of an American-style Asian option of floating strike type (Q613214) (← links)
- A network of options: evaluating complex interdependent decisions under uncertainty (Q633325) (← links)
- American lookback option with fixed strike price-2-D parabolic variational inequality (Q640996) (← links)
- Variational inequalities and the pricing of American options (Q751451) (← links)
- The early exercise boundary under the jump to default extended CEV model (Q781553) (← links)
- Optimal risk management problem of natural resources: application to oil drilling (Q829138) (← links)
- A generalized complementarity approach to solving real option problems (Q844678) (← links)
- Dividends in the theory of derivative securities pricing (Q878400) (← links)
- On the pricing of American options (Q913622) (← links)
- Free boundary and optimal stopping problems for American Asian options (Q928494) (← links)
- Variational inequalities in Hilbert spaces with measures and optimal stopping problems (Q946223) (← links)
- Hedging using simulation: a least squares approach (Q956433) (← links)
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options (Q972768) (← links)
- Optimal regularity in the obstacle problem for Kolmogorov operators related to American Asian options (Q976775) (← links)
- On perpetual American put valuation and first-passage in a regime-switching model with jumps (Q1003346) (← links)
- An extension of a theorem of K. Yamada to equations ``with memory'' (Q1175833) (← links)
- Pricing the American put option: A detailed convergence analysis for binomial models (Q1274218) (← links)
- Volatility misspecification, option pricing and superreplication via coupling (Q1296625) (← links)
- A sufficient condition for near-optimal stochastic controls and its application to manufacturing systems (Q1312097) (← links)
- An option pricing problem with the underlying stock paying dividends (Q1377185) (← links)
- Nonparametric estimation of American options' exercise boundaries and call prices (Q1583161) (← links)
- Futures market equilibrium with heterogeneity and a spot market at harvest (Q1589561) (← links)
- Supermartingale decomposition theorem under \(G\)-expectation (Q1663870) (← links)
- An integration by parts type formula for stopping times and its application (Q1707041) (← links)
- An optimal stopping problem with a reward constraint (Q1761452) (← links)
- Hedging American contingent claims with constrained portfolios under a higher interest rate for borrowing (Q1771800) (← links)
- Residual risks and hedging strategies in Markovian markets (Q1812724) (← links)
- On the use of boundary conditions for variational formulations arising in financial mathematics. (Q1855082) (← links)
- American put options with a finite set of exercisable time epochs (Q1905857) (← links)
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets (Q1922096) (← links)
- American options with stochastic dividends and volatility: a nonparametric investigation (Q1969814) (← links)
- Optimal oil production and the world supply of oil (Q1994257) (← links)
- Probabilistic approach to free boundary problems and pricing of American options (Q2016260) (← links)
- American options in nonlinear markets (Q2042845) (← links)
- An Italian perspective on the development of financial mathematics from 1992 to 2008 (Q2072109) (← links)
- Bermudan options pricing formulas in uncertain financial markets (Q2169605) (← links)
- An efficient finite element method for pricing American multi-asset put options (Q2198473) (← links)
- An efficient numerical method for the valuation of American multi-asset options (Q2204166) (← links)
- A new form of the early exercise premium for American type derivatives (Q2213635) (← links)
- G-Doob-Meyer decomposition and its applications in bid-ask pricing for derivatives under Knightian uncertainty (Q2336966) (← links)
- Optimal stopping problems with restricted stopping times (Q2358495) (← links)
