Topics in pricing American type financial contracts

Keywords

Financial economics, Economics, Business, Finance

References

• The Constant Elasticity of Variance Option Pricing ModelJohn C. Cox — 1996
• Options, Futures, and Other DerivativesJ. Hull — 1989
• Stochastic processes with applicationsA. V. Metcalfe, Rabi Bhattacharya, Edward C. Waymire — 1990
• Mean stochastic comparison of diffusionsBruce Hajek — 1984
• A jump to default extended CEV model: an application of Bessel processesPeter Carr, Vadim Linetsky — 2006
• Options: A Monte Carlo approachPhelim P. Boyle — 1977
• Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its AlternativesBeni Lauterbach, Paul Schultz — 1990
• On Models of Default RiskRobert J. Elliott, Monique Jeanblanc, Marc Yor — 2000
• Maximum principles in differential equationsMurray H. Protter, Hans F. Weinberger — 1967
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency OptionsSteven L. Heston — 1993
• Monte Carlo valuation of American optionsL. C. G. Rogers — 2002
• Stock Price Distributions with Stochastic Volatility: An Analytic ApproachElias M. Stein, Jeremy C. Stein — 1991
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete MarketsMarco Frittelli — 2000
• An Empirical Examination of the Black‐Scholes Call Option Pricing ModelJames D. MacBeth, Larry J. Merville — 1979
• Mean-variance hedging in continuous timeDarrell Duffie, Henry R. Richardson — 1991
• The Valuation of American Put OptionsRobert C. Merton, Michael J. Brennan, Eduardo S. Schwartz — 1977
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCYVadim Linetsky — 2006
• ON THE AMERICAN OPTION PROBLEMGoran Peškir — 2005
• Option pricing: A simplified approach☆John C. Cox, Stephen A. Ross, Mark Rubinstein — 1979
• The Pricing of Options on Assets with Stochastic VolatilitiesJohn Hull, Alan White — 1987

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