Perpetual cancellable American options with convertible features

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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Pricing American continuous-installment options under stochastic volatility model
A HODIE finite difference scheme for pricing American options
American continuous-installment options of barrier type
Mixed fractional Heston model and the pricing of American options
A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
Valuation of American strangle option: variational inequality approach
Some calculations for Israeli options
Dynkin's games and Israeli options
Pricing puttable convertible bonds with integral equation approaches
Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
Analytic solution for American strangle options using Laplace-Carson transforms
Optimal stopping of a killed exponentially growing process
Calibration of the double Heston model and an analytical formula in pricing American put option
A robust numerical method for pricing American options under Kou's jump-diffusion models based on penalty method
Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model
Path-dependent game options with Asian features
Pricing the American options: a closed-form, simple formula
Pricing the American options using the Black-Scholes pricing formula
The Dynkin game with regime switching and applications to pricing game options
A semi-analytic valuation of American options under a two-state regime-switching economy
A new integral equation approach for pricing American-style barrier options with rebates
Perpetual game options with a multiplied penalty
American perpetual options with random start
On shortfall risk minimization for game options
CTMC integral equation method for American options under stochastic local volatility models
Valuation of contingent convertible catastrophe bonds -- the case for equity conversion
Path-dependent game options: a lookback case
A new approach for pricing discounted American options
Risk minimization for game options in markets imposing minimal transaction costs
PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS
CALLABLE PUTS AS COMPOSITE EXOTIC OPTIONS
Optimal Stopping Games and Nash Equilibrium
Optimal Stopping Games for Markov Processes
A new integral equation formulation for American put options
Game Options in an Imperfect Market with Default
American options in an imperfect complete market with default
PERPETUAL CANCELLABLE AMERICAN CALL OPTION
Valuation model for Chinese convertible bonds with soft call/put provision under the hybrid willow tree
Pricing resettable convertible bonds using an integral equation approach
Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
Game options with gradual exercise and cancellation under proportional transaction costs
An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes
Error Estimates for Lagrange--Galerkin Approximation of American Options Valuation
The robust pricing–hedging duality for American options in discrete time financial markets
GAME CALL OPTIONS REVISITED
Game options

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