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Pricing Multidimensional American Options

• Authors : Elettra Agliardi; Rossella Agliardi

Subjects: American options; optimal exercise boundary; multidimensional stochastic processes

• Source: International Journal of Financial Studies, Vol 11, Iss 1, p 51 (2023)

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TAU METHOD FOR PRICING AMERICAN OPTIONS UNDER COMPLEX MODELS

• Authors : Samaneh Bani Asadi; Azim Rivaz

Subjects: tau method; stochastic integro-differential black-scholes equation; european option pricing problem

• Source: Mathematics and Modeling in Finance, Vol 1, Iss 1, Pp 145-155 (2021)

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Variance Reduction Applied to Machine Learning for Pricing Bermudan/American Options in High Dimension

• Authors : Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino ...

Subjects: Finance; Gaussian process regression; Control variate

• Source: Applications of Lévy Processes ; https://inria.hal.science/hal-03524108 ; Oleg Kudryavtsev; Antonino Zanette. Applications of Lévy Processes, Nova Science Publishers, 2021, 978-1-53619-525-5.

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American options and stochastic interest rates

• Authors : Battauz, Anna; Rotondi, Francesco;

Subjects: Finance; Stochastic processes; American options

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Pricing American Options with a Non-Constant Penalty Parameter

• Authors : Anna Clevenhaus; Matthias Ehrhardt; Michael Günther

Subjects: American Options; PDE option pricing; Penalty term

• Source: Journal of Risk and Financial Management, Vol 13, Iss 124, p 124 (2020)

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Pricing American Options: A Duality Approach.

• Authors : Haugh, Martin B.; Kogan, Leonid

Subjects: OPTIONS (Finance); PRICING; MONTE Carlo method

• Source: Operations Research. Mar/Apr2004, Vol. 52 Issue 2, p258-270. 13p. 3 Charts.

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Valuation of Discrete Barrier American Options

• Authors : Carlos Patrício Samanez; Giuliano Carroza Uzêda Iorio de Souza

Subjects: derivatives; options; numerical methods

• Source: Revista Brasileira de Finanças, Vol 7, Iss 4, Pp 503-521 (2009)

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An Analytic Approach for Pricing American Options with Regime Switching

• Authors : Leunglung Chan; Song-Ping Zhu

Subjects: option pricing; free boundary problem; regime switching

• Source: Journal of Risk and Financial Management, Vol 14, Iss 188, p 188 (2021)

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THE EARLY EXERCISE PREMIUM FOR AMERICAN OPTIONS. EMPIRICAL STUDY ON SIBEX MARKET

• Authors : Maria-Miruna POCHEA; Angela-Maria FILIP

Subjects: Finance; HG1-9999

• Source: Finanţe: Provocările viitorului, Vol 1, Iss 13, Pp 188-197 (2011)

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The Valuation of American Options for a Class of Diffusion Processes.

• Authors : Detemple, Jérôme; Weidong Tian

Subjects: OPTIONS (Finance); DERIVATIVE securities; DIFFUSION processes

• Source: Management Science. Jul2002, Vol. 48 Issue 7, p917-937. 21p. 7 Graphs.

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