Search Results

There are 7295 results for: content related to: Efficient Analytic Approximation of American Option Values

  1. Valuation of American Futures Options: Theory and Empirical Tests

    The Journal of Finance

    Volume 41, Issue 1, March 1986, Pages: 127–150, ROBERT E. WHALEY

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1986.tb04495.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. 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

  4. On the Importance of the Traders’ Rules for Pricing Options: Evidence From Intraday Data

    Asia-Pacific Journal of Financial Studies

    Volume 43, Issue 6, December 2014, Pages: 873–894, Sol Kim and Changjun Lee

    Article first published online : 8 JAN 2015, DOI: 10.1111/ajfs.12075

  5. 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

  6. Jump Diffusion Option Valuation in Discrete Time

    The Journal of Finance

    Volume 48, Issue 5, December 1993, Pages: 1833–1863, KAUSHIK I. AMIN

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1993.tb05130.x

  7. An efficient graphics processing unit-based parallel algorithm for pricing multi-asset American options

    Concurrency and Computation: Practice and Experience

    Volume 24, Issue 8, 10 June 2012, Pages: 849–866, Duy Minh Dang, Christina C. Christara and Kenneth R. Jackson

    Article first published online : 13 JUL 2011, DOI: 10.1002/cpe.1784

  8. Optimal Pricing Strategy in the Case of Price Dispersion: New Evidence from the Tokyo Housing Market

    Real Estate Economics

    Volume 40, Issue s1, December 2012, Pages: S234–S272, Yongheng Deng, Stuart A. Gabriel, Kiyohiko G. Nishimura and Diehang (Della) Zheng

    Article first published online : 26 DEC 2012, DOI: 10.1111/j.1540-6229.2012.00347.x

  9. Valuation of futures and commodity options with information costs

    Journal of Futures Markets

    Volume 19, Issue 6, September 1999, Pages: 645–664, Mondher Bellalah

    Article first published online : 13 AUG 1999, DOI: 10.1002/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S

  10. DISCRETE TIME HEDGING OF THE AMERICAN OPTION

    Mathematical Finance

    Volume 20, Issue 4, October 2010, Pages: 647–670, S. Hussain and M. Shashiashvili

    Article first published online : 22 SEP 2010, DOI: 10.1111/j.1467-9965.2010.00415.x

  11. 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

  12. Analytical American Option Pricing: The Flat-barrier Lower Bound

    Economic Notes

    Volume 33, Issue 3, November 2004, Pages: 399–413, Alessandro Sbuelz

    Article first published online : 13 APR 2005, DOI: 10.1111/j.0391-5026.2004.00138.x

  13. Why Option Prices Lag Stock Prices: A Trading-based Explanation

    The Journal of Finance

    Volume 48, Issue 5, December 1993, Pages: 1957–1967, KALOK CHAN, Y. PETER CHUNG and HERB JOHNSON

    Article first published online : 30 APR 2012, DOI: 10.1111/j.1540-6261.1993.tb05136.x

  14. A non-lattice pricing model of American options under stochastic volatility

    Journal of Futures Markets

    Volume 26, Issue 5, May 2006, Pages: 417–448, Zhe Zhang and Kian-Guan Lim

    Article first published online : 23 MAR 2006, DOI: 10.1002/fut.20207

  15. AMERICAN PUT PRICING: AUSTRALIAN EVIDENCE

    Journal of Business Finance & Accounting

    Volume 17, Issue 2, March 1990, Pages: 297–320, G.F. Loudon

    Article first published online : 7 DEC 2006, DOI: 10.1111/j.1468-5957.1990.tb00562.x

  16. You have free access to this content
    A Systematic Review on the Affordability of a Healthful Diet for Families in the United States

    Public Health Nursing

    Volume 32, Issue 1, January/February 2015, Pages: 68–80, Melissa L. Horning and Jayne A. Fulkerson

    Article first published online : 18 AUG 2014, DOI: 10.1111/phn.12145

  17. 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

  18. Early exercise of American put options: Investor rationality on the Swedish equity options market

    Journal of Futures Markets

    Volume 20, Issue 2, February 2000, Pages: 167–188, Malin Engström, Lars Nordén and Anders Strömberg

    Article first published online : 21 JAN 2000, DOI: 10.1002/(SICI)1096-9934(200002)20:2<167::AID-FUT4>3.0.CO;2-5

  19. PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD

    Mathematical Finance

    Volume 20, Issue 1, January 2010, Pages: 59–87, Jin E. Zhang and Tiecheng Li

    Article first published online : 15 JAN 2010, DOI: 10.1111/j.1467-9965.2009.00389.x

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

    Standard Article

    Wiley StatsRef: Statistics Reference Online

    Masaaki Kijima and Yukio Muromachi

    Published Online : 29 SEP 2014, DOI: 10.1002/9781118445112.stat02698