Research graph
References from PDE methods for pricing barrier options. Local targets link to admitted publications; unresolved targets remain external evidence.
Unresolved reference
External reference
Bumping up against the barrier with the binomial method
10.3905/jod.1994.407891 · 1994 · External reference
Deposit insurance with changing volatility: an application of exotic options
1994 · External reference
An explicit finite difference approach to the pricing of barrier options
10.1080/135048698334718 · 1998 · External reference
Pricing lookback and barrier options under the CEV process
10.2307/2676280 · 1999 · External reference
10.1137/1.9781611971224
10.1137/1.9781611971224 · External reference
American capped call options on dividend-paying assets
10.1093/rfs/8.1.161 · 1995 · External reference
A continuity correction for discrete barrier options
10.1111/1467-9965.00035 · 1997 · External reference
Connecting discrete and continuous path-dependent options
10.1007/s007800050052 · 1999 · External reference
Two extensions to barrier option valuation
10.1080/13504869500000010 · 1995 · External reference
Complex barrier options
10.3905/jod.1996.407958 · 1996 · External reference
Fast numerical valuation of American, exotic and complex options
10.1080/135048697334809 · 1997 · External reference
A framework for valuing corporate securities
10.1080/135048698334619 · 1998 · External reference
The adaptive mesh model: a new approach to efficient option pricing
10.1016/s0304-405x(99)00024-0 · 1999 · External reference
10.1016/s0165-1889(99)00093-7 · Admitted local publication
Pricing and hedging double-barrier options: a probabilistic approach
10.1111/j.1467-9965.1996.tb00122.x · 1996 · External reference
The early exercise of American puts
10.1016/0378-4266(85)90018-4 · 1985 · External reference
Dividends and S&P 100 index option valuation
10.1002/fut.3990120202 · 1992 · External reference
Crossing barriers
1994 · External reference
Partial barrier options
10.1007/bf02425804 · 1994 · External reference
Discrete partial barrier options with a moving barrier
1996 · External reference
Surprised parties
1997 · External reference
Unresolved reference
1993 · External reference
Unresolved reference
1987 · External reference
Variational inequalities and the pricing of American options
10.1007/bf00047211 · 1990 · External reference
Unresolved reference
External reference
Pricing options with curved boundaries
10.1111/j.1467-9965.1992.tb00033.x · 1992 · External reference
Characterization of optimal stepsize sequences for methods for stiff differential equations
10.1137/0714058 · 1977 · External reference
10.2118/10496-ms
10.2118/10496-ms · External reference
Theory of rational option pricing
10.2307/3003143 · 1973 · External reference
On the pricing of corporate debt: the risk structure of interest rates
10.2307/2978814 · 1974 · External reference
10.2139/ssrn.6075
10.2139/ssrn.6075 · External reference
The mathematical foundations of barrier option-pricing theory
1991 · External reference
The valuation and behavior of Black–Scholes options subject to intertemporal default risk
10.1007/bf01536394 · 1996 · External reference
On pricing barrier options
10.3905/jod.1995.407939 · 1995 · External reference
Unresolved reference
External reference
Breaking down the barriers
1991 · External reference
10.2118/12268-pa
10.2118/12268-pa · External reference
Unresolved reference
1985 · External reference
Unresolved reference
1993 · External reference
Robust numerical methods for PDE models of Asian options
10.21314/jcf.1997.006 · 1998 · External reference
Penalty methods for American options with stochastic volatility
10.1016/s0377-0427(98)00037-5 · 1998 · External reference
Swing low, swing high
1998 · External reference
