Analytical approximations for the critical stock prices of American options: a performance comparison
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Publication:965897
DOI10.1007/s11147-009-9044-3zbMath1205.91159OpenAlexW2139599136MaRDI QIDQ965897
Publication date: 26 April 2010
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/15018/1/MPRA_paper_15018.pdf
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
An improved method for pricing and hedging long dated American options ⋮ Optimal exercise of American put options near maturity: a new economic perspective ⋮ An improved Barone-Adesi Whaley formula for turbulent markets
Cites Work
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- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
- Optimal Stopping and the American Put
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Pricing and Hedging American Options Using Approximations by Kim Integral Equations *
- American options on assets with dividends near expiry
- An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Randomization and the American Put
- Option pricing: A simplified approach
- An exact and explicit solution for the valuation of American put options
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