Research graph
References from The valuation of American barrier options using the decomposition technique. Local targets link to admitted publications; unresolved targets remain external evidence.
Efficient analytic approximation of American option values
10.2307/2328254 · 1987 · External reference
Valuing corporate securities: some effects of bond indenture provisions
10.2307/2326607 · 1976 · External reference
The pricing of options and corporate liabilities
10.1086/260062 · 1973 · External reference
Bumping up against the barrier with the binomial method
10.3905/jod.1994.407891 · 1994 · External reference
Pricing and hedging capped options
10.1002/fut.3990090105 · 1989 · External reference
Unresolved reference
External reference
The accelerated binomial option pricing model
10.2307/2331262 · 1991 · External reference
American capped call options on dividend-paying assets
10.1093/rfs/8.1.161 · 1995 · External reference
American option valuation, new bounds, approximations, and a comparison of existing methods
10.1093/rfs/9.4.1211 · 1996 · External reference
Valuation of American options on multiple assets
10.1111/1467-9965.00032 · 1997 · External reference
A simple and numerically efficient valuation method for American puts using a modified Geske-Johnson approach
10.2307/2329126 · 1992 · External reference
Randomization and the American put
10.1093/rfs/11.3.597 · 1998 · External reference
Static hedging of exotic options
10.1111/0022-1082.00048 · 1998 · External reference
Unresolved reference
External reference
Alternative characterizations of American put options
10.1111/j.1467-9965.1992.tb00040.x · 1992 · External reference
State space symmetry and two-factor option pricing models
1993 · External reference
Complex barrier options
10.3905/jod.1996.407958 · 1996 · External reference
Unresolved reference
1965 · External reference
The valuation of options for alternative stochastic processes
10.1016/0304-405x(76)90023-4 · 1976 · External reference
Static options replication
10.3905/jod.1995.407927 · 1995 · External reference
Unresolved reference
1992 · External reference
Unresolved reference
External reference
The American put options valued analytically
10.2307/2327741 · 1984 · External reference
10.2139/ssrn.87888
10.2139/ssrn.87888 · External reference
Martingales and arbitrage in multiperiod securities markets
10.1016/0022-0531(79)90043-7 · 1979 · External reference
Martingale and stochastic integrals in the theory of continuous trading
10.1016/0304-4149(81)90026-0 · 1981 · External reference
A simple technique for the valuation and hedging of American options
10.3905/jod.1994.407897 · 1994 · External reference
The valuation of American options with stochastic interest rates: a generalization of the Geske-Johnson technique
10.2307/2329500 · 1997 · External reference
The valuation of American-style options on bonds
10.1016/s0378-4266(97)00034-4 · 1997 · External reference
Surprised parties
1997 · External reference
Pricing and hedging American options: a recursive integration method
10.1093/rfs/9.1.277 · 1996 · External reference
Optimal stopping and the American put
10.1111/j.1467-9965.1991.tb00007.x · 1991 · External reference
10.1017/cbo9781139173056.006
10.1017/cbo9781139173056.006 · External reference
Pricing an American option by approximating its early exercise boundary as a piece-wise exponential function
10.1093/rfs/11.3.627 · 1998 · External reference
Unresolved reference
1991 · External reference
The analytic valuation of American options
10.1093/rfs/3.4.547 · 1990 · External reference
An analytic approximation for the American put price
1986 · External reference
A parity result for American options
10.21314/jcf.1998.010 · 1998 · External reference
Appendix: a free boundary problem for the heating function arising from a problem in mathematical economics
1965 · External reference
Theory of rational option pricing
10.2307/3003143 · 1973 · External reference
Unresolved reference
1990 · External reference
The valuation of American put options with exponential exercise policies
1987 · External reference
The mathematical foundations of barrier option-pricing theory
1994 · External reference
On pricing barrier options
10.3905/jod.1995.407939 · 1995 · External reference
Fast accurate binomial pricing
10.1007/s007800050029 · 1998 · External reference
Breaking down the barriers
1991 · External reference
A reduction method applicable to compound option formulas
10.1287/mnsc.35.7.823 · 1989 · External reference
Unresolved reference
External reference
Unresolved reference
External reference
On the evaluation of compound options
10.1287/mnsc.33.3.347 · 1987 · External reference
On optimal stopping and free boundary problems
10.1007/bf00250676 · 1976 · External reference
