Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
From MaRDI portal
Publication:4677660
DOI10.1023/B:EUFI.0000022128.44728.4czbMath1098.91053MaRDI QIDQ4677660
Publication date: 12 May 2005
Published in: Review of Finance (Search for Journal in Brave)
Related Items (23)
An improved method for pricing and hedging long dated American options ⋮ Valuation of guaranteed minimum maturity benefits in variable annuities with surrender options ⋮ Integral equations for Rost's reversed barriers: existence and uniqueness results ⋮ Pricing American-style Parisian up-and-out call options ⋮ American continuous-installment options of barrier type ⋮ How should a convertible bond be decomposed? ⋮ A new integral equation approach for pricing American-style barrier options with rebates ⋮ Valuation of non-recourse stock loan using an integral equation approach ⋮ Unnamed Item ⋮ Pricing American continuous-installment options under stochastic volatility model ⋮ American Strangle Options ⋮ A decomposition approach via Fourier sine transform for valuing American knock-out options with rebates ⋮ MATHEMATICAL PROPERTIES OF AMERICAN CHOOSER OPTIONS ⋮ Pricing puttable convertible bonds with integral equation approaches ⋮ Analytical approximations for the critical stock prices of American options: a performance comparison ⋮ An integral equation approach for the valuation of American-style down-and-out calls with rebates ⋮ American chooser options ⋮ Efficient Meshfree Method for Pricing European and American Put Options on a Non-dividend Paying Asset ⋮ THE EARLY EXERCISE PREMIUM FOR THE AMERICAN PUT UNDER DISCRETE DIVIDENDS ⋮ American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach ⋮ An integral equation for American put options on assets with general dividend processes ⋮ Valuation for an American continuous-installment put option on bond under Vasicek interest rate model ⋮ Pricing American options written on two underlying assets
This page was built for publication: Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
