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Forward Indifference Valuation of American Options
SSRN Electronic Journal
◽
10.2139/ssrn.1587057
◽
2011
◽
Cited By ~ 2
Author(s):
Tim Siu-Tang Leung
◽
Ronnie Sircar
◽
Thaleia Zariphopoulou
Keyword(s):
American Options
◽
Indifference Valuation
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Cited By
References
Forward indifference valuation of American options
Stochastics
◽
10.1080/17442508.2012.694438
◽
2012
◽
Vol 84
(5-6)
◽
pp. 741-770
◽
Cited By ~ 9
Author(s):
Tim Leung
◽
Ronnie Sircar
◽
Thaleia Zariphopoulou
Keyword(s):
American Options
◽
Indifference Valuation
Download Full-text
A mathematical programming with equilibrium constraints approach to the implied volatility surface of American options
The Journal of Computational Finance
◽
10.21314/jcf.2000.054
◽
2000
◽
Vol 4
(1)
◽
pp. 21-56
◽
Cited By ~ 4
Author(s):
Jacqueline Huang
◽
Jong-Shi Pang
Keyword(s):
Mathematical Programming
◽
Implied Volatility
◽
American Options
◽
Equilibrium Constraints
◽
Implied Volatility Surface
◽
Volatility Surface
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A canonical optimal stopping problem for American options under a double exponential jump-diffusion model
The Journal of Risk
◽
10.21314/jor.2007.154
◽
2007
◽
Vol 10
(1)
◽
pp. 85-100
◽
Cited By ~ 4
Author(s):
Farid AitSahlia
◽
Andreas Runnemo
Keyword(s):
Diffusion Model
◽
Optimal Stopping
◽
American Options
◽
Jump Diffusion
◽
Optimal Stopping Problem
◽
Double Exponential
◽
Jump Diffusion Model
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LP valuation of exotic American options exploiting structure
The Journal of Computational Finance
◽
10.21314/jcf.1998.020
◽
1998
◽
Vol 2
(1)
◽
pp. 61-84
◽
Cited By ~ 21
Author(s):
M Dempster
◽
J Hutton
◽
d Richards
Keyword(s):
American Options
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Valuing American options in the presence of user-defined smiles and time-dependent volatility: scenario analysis, model stress and lower-bound pricing applications
The Journal of Risk
◽
10.21314/jor.2001.055
◽
2001
◽
Vol 4
(1)
◽
pp. 35-61
◽
Cited By ~ 5
Author(s):
Peter Jäckel
◽
Riccardo Rebonato
Keyword(s):
Lower Bound
◽
Scenario Analysis
◽
American Options
◽
Time Dependent
◽
Analysis Model
Download Full-text
Variance reduction techniques for pricing American options using function approximations
The Journal of Computational Finance
◽
10.21314/jcf.2009.208
◽
2009
◽
Vol 12
(3)
◽
pp. 79-102
◽
Cited By ~ 10
Author(s):
Sandeep Juneja
◽
Himanshu Kalra
Keyword(s):
Variance Reduction
◽
American Options
◽
Variance Reduction Techniques
◽
Reduction Techniques
◽
Function Approximations
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Implicit-Explicit Method for American Options in Jump-Diffusion Models with Stochastic Volatility
SSRN Electronic Journal
◽
10.2139/ssrn.1107646
◽
2008
◽
Author(s):
Svetlana I. Boyarchenko
◽
Sergei Z. Levendorskii
Keyword(s):
Stochastic Volatility
◽
American Options
◽
Jump Diffusion
◽
Diffusion Models
◽
Explicit Method
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Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models
SSRN Electronic Journal
◽
10.2139/ssrn.1528827
◽
2009
◽
Cited By ~ 1
Author(s):
Natalia Beliaeva
◽
Sanjay K. Nawalkha
Keyword(s):
Stochastic Volatility
◽
American Options
◽
Stochastic Volatility Models
◽
Volatility Models
◽
Low Dimensional
Download Full-text
An Efficient Exercise Boundary Search Algorithm for Valuing American Options
SSRN Electronic Journal
◽
10.2139/ssrn.3179013
◽
2018
◽
Author(s):
Qianru Shang
◽
Brian Byrne
Keyword(s):
Search Algorithm
◽
American Options
◽
Exercise Boundary
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Pricing the American Options: A Closed-Form, Simple Formula
SSRN Electronic Journal
◽
10.2139/ssrn.3397938
◽
2019
◽
Cited By ~ 1
Author(s):
Moawia Alghalith
Keyword(s):
Closed Form
◽
Simple Formula
◽
American Options
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