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Pricing American Options by a Fourier Transform Multinomial Tree in a Conic Market.

• Authors : Wang, Weiwei¹ (AUTHOR); Hu, Xiaoping² (AUTHOR)

• Source: Discrete Dynamics in Nature & Society. 9/26/2022, Vol. 2022, p1-10. 10p.

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AMERICAN OPTIONS IN REGIME-SWITCHING MODELS.

• Authors : Boyarchenko, Svetlana¹ ; Levendorskiĭ, Sergei¹

• Source: SIAM Journal on Control & Optimization. 2009, Vol. 48 Issue 3, p1353-1376. 24p. 5 Charts.

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PERPETUAL AMERICAN OPTIONS UNDER LÉVY PROCESSES.

• Authors : Boyarchenko, S.I.; Levendorskii, S.Z.

• Source: SIAM Journal on Control & Optimization. 2002, Vol. 40 Issue 6, p1663. 34p.

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A new radial basis functions method for pricing American options under Merton's jump-diffusion model.

• Authors : Saib, A.A.E.F.¹ (AUTHOR); Tangman, D.Y.² (AUTHOR); Bhuruth, M.² (AUTHOR)

• Source: International Journal of Computer Mathematics. Jul2012, Vol. 89 Issue 9, p1164-1185. 22p. 20 Charts, 2 Graphs.

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The Variance Gamma plus plus process and applications to energy markets

• Authors : Gardini, Matteo; Sabino, Piergiacomo; Sasso, Emanuela ...

Subjects: energy markets; FFT; Levy processes

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Wavelet Galerkin pricing of American options on Lévy driven assets

• Authors : A.-M. Matache; P.-A. Nitsche; C. Schwab ...

Subjects: Lévy processes; integro-differential operators; variational inequalities

• Source: http://www.risklab.ch/ftp/papers/WaveletGalerkinPricing.pdf.

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Max-Plus decomposition of supermartingales and convex order. Application to American options and Portfolio insurance. ; Decomposition Max-Plus des surmartingales et ordre convexe. Application aux options Americaines et a l'assurance de portefeuille.

• Authors : Meziou, Asma;

Subjects: Supermartingale decompositions; Max-Plus algebra; Running supremum process

• Source: https://pastel.hal.science/pastel-00002177 ; Mathématiques [math]. Ecole Polytechnique X, 2006. Français. ⟨NNT : ⟩.

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Wavelet Galerkin pricing of American options on Lévy driven assets

• Authors : Matache, Ana-Maria; Nitsche, Pal-Andrej; Schwab, Christoph

Subjects: Lévy processes; integro-differential operators; variational inequalities

• Source: SAM Research Report, 2003-06

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Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities

• Authors : Phelan, CE; Marazzina, D; Germano, G

Subjects: Lévy processes; Spitzer identities; Hindsight options

• Source: Quantitative Finance , 20 (6) pp. 899-918. (2020)

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Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting

• Authors : Daveloose, Catherine; Khedher, Asma; Vanmaele, Michèle

Subjects: Mathematics and Statistics; Business and Economics; Conditional expectation

• Source: STOCHASTIC ANALYSIS AND APPLICATIONS ; ISSN: 0736-2994

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