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There are 2973867 results for: content related to: Efficient Analytic Approximation of American Option Values

  1. Price Discovery in Near- and Away-from-the-Money Option Markets

    Financial Review

    Volume 48, Issue 1, February 2013, Pages: 25–48, Thomas Rourke

    Article first published online : 19 MAR 2013, DOI: 10.1111/j.1540-6288.2012.00352.x

  2. Solving complex PDE systems for pricing American options with regime-switching by efficient exponential time differencing schemes

    Numerical Methods for Partial Differential Equations

    Volume 29, Issue 1, January 2013, Pages: 320–336, A.Q.M. Khaliq, B. Kleefeld and R.H. Liu

    Article first published online : 30 MAR 2012, DOI: 10.1002/num.21714

  3. Nonparametric American option pricing

    Journal of Futures Markets

    Volume 28, Issue 8, August 2008, Pages: 717–748, Jamie Alcock and Trent Carmichael

    Article first published online : 13 JUN 2008, DOI: 10.1002/fut.20335

  4. The Black–Scholes Formula and Its Applications in Finance

    Standard Article

    Encyclopedia of Statistical Sciences

    Masaaki Kijima and Yukio Muromachi

    Published Online : 14 JAN 2011, DOI: 10.1002/0471667196.ess7145

  5. An introduction to exotic options

    European Financial Management

    Volume 1, Issue 1, March 1995, Pages: 87–95, Peter G. Zhang

    Article first published online : 27 OCT 2006, DOI: 10.1111/j.1468-036X.1995.tb00008.x

  6. The Crash of '87: Was It Expected? The Evidence from Options Markets

    The Journal of Finance

    Volume 46, Issue 3, July 1991, Pages: 1009–1044, DAVID S. BATES

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1991.tb03775.x

  7. The Valuation of American Options on Multiple Assets

    Mathematical Finance

    Volume 7, Issue 3, July 1997, Pages: 241–286, Mark Broadie and Jérôme Detemple

    Article first published online : 5 JAN 2002, DOI: 10.1111/1467-9965.00032

  8. Are Options on Index Futures Profitable for Risk-Averse Investors? Empirical Evidence

    The Journal of Finance

    Volume 66, Issue 4, August 2011, Pages: 1407–1437, GEORGE M. CONSTANTINIDES, MICHAL CZERWONKO, JENS CARSTEN JACKWERTH and STYLIANOS PERRAKIS

    Article first published online : 19 JUL 2011, DOI: 10.1111/j.1540-6261.2011.01665.x

  9. Richardson extrapolation techniques for the pricing of American-style options

    Journal of Futures Markets

    Volume 27, Issue 8, August 2007, Pages: 791–817, Chuang-Chang Chang, San-Lin Chung and Richard C. Stapleton

    Article first published online : 19 JUN 2007, DOI: 10.1002/fut.20272

  10. Fuzzy pricing of American options on stocks with known dividends and its algorithm

    International Journal of Intelligent Systems

    Volume 26, Issue 2, February 2011, Pages: 169–185, Wei-Guo Zhang, Qing-Sheng Shi and Wei-Lin Xiao

    Article first published online : 22 NOV 2010, DOI: 10.1002/int.20460

  11. NONREPLICATION OF OPTIONS

    Mathematical Finance

    Volume 22, Issue 3, July 2012, Pages: 569–584, Christos Kountzakis, Ioannis A. Polyrakis and Foivos Xanthos

    Article first published online : 5 DEC 2010, DOI: 10.1111/j.1467-9965.2010.00467.x

  12. Empirical performance of alternative pricing models of currency options

    Journal of Futures Markets

    Volume 20, Issue 3, March 2000, Pages: 265–291, Ghulam Sarwar and Timothy Krehbiel

    Article first published online : 16 FEB 2000, DOI: 10.1002/(SICI)1096-9934(200003)20:3<265::AID-FUT4>3.0.CO;2-4

  13. Empirical tests of canonical nonparametric American option-pricing methods

    Journal of Futures Markets

    Volume 30, Issue 6, June 2010, Pages: 509–532, Jamie Alcock and Diana Auerswald

    Article first published online : 29 JUL 2009, DOI: 10.1002/fut.20421

  14. American option valuation: Implied calibration of GARCH pricing models

    Journal of Futures Markets

    Volume 31, Issue 10, October 2011, Pages: 971–994, Michael Weber and Marcel Prokopczuk

    Article first published online : 8 NOV 2010, DOI: 10.1002/fut.20496

  15. PRICING OPTIONS ON VARIANCE IN AFFINE STOCHASTIC VOLATILITY MODELS

    Mathematical Finance

    Volume 21, Issue 4, October 2011, Pages: 627–641, Jan Kallsen, Johannes Muhle-Karbe and Moritz Voß

    Article first published online : 19 OCT 2010, DOI: 10.1111/j.1467-9965.2010.00447.x

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    Empirical Performance of Alternative Option Pricing Models

    The Journal of Finance

    Volume 52, Issue 5, December 1997, Pages: 2003–2049, Gurdip Bakshi, Charles Cao and Zhiwu Chen

    Article first published online : 18 APR 2012, DOI: 10.1111/j.1540-6261.1997.tb02749.x

  17. Options I

    Fixed Income Markets: Management, Trading, Hedging, Second Edition

    Moorad Choudhry, David Moskovic, Max Wong, Suleman Baig, Zhuoshi Liu, Michele Lizzio, Alexandru Voicu, Pages: 435–460, 2014

    Published Online : 20 JUN 2014, DOI: 10.1002/9781118638330.ch16

  18. Analytic approximation of the optimal exercise boundaries for american future options

    Journal of Futures Markets

    Volume 14, Issue 1, February 1994, Pages: 1–24, Joon Kim

    Article first published online : 28 AUG 2006, DOI: 10.1002/fut.3990140103

  19. ANAYTICAL SOLUTIONS FOR THE PRICING OF AMERICAN BOND AND YIELD OPTIONS

    Mathematical Finance

    Volume 3, Issue 3, July 1993, Pages: 277–294, Marc Chesney, Robert J. Elliott and Rajna Gibson

    Article first published online : 6 DEC 2006, DOI: 10.1111/j.1467-9965.1993.tb00045.x

  20. Option prices and pricing theory: combining financial mathematics with statistical modeling

    Wiley Interdisciplinary Reviews: Computational Statistics

    Volume 3, Issue 6, November/December 2011, Pages: 566–576, Ling Chen, Tze Leung Lai and Tiong Wee Lim

    Article first published online : 9 AUG 2011, DOI: 10.1002/wics.186