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Comparison of numerical and analytical approximations . . .
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by Martin Lauko, et al.
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Citations
5025
The pricing of options and corporate liabilities
- Black, Scholes - 1973
274
Efficient analytic approximation of American option values
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105
The American Put Option Valued Analytically
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Alternative characterizations of American put options, Mathematical Finance 2
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48
Analytic approximation for the American put option
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31
A Mathematical Analysis of The Optimal Exercise Boundary for American Put Options
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29
Optimal exercise boundary for an American put option
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21
Some mathematical results in the pricing of American options
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17
A Front-Fixing Finite Difference Method for the Valuation
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16
On Valuing American Call Options with the Black–Scholes European Formula
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16
Options, Futures and Other Derivative Securities, third edn
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16
The early exercise boundary for the American put near : numerical approximation
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15
Convexity of the optimal stopping boundary for the American put option
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Convexity of the Exercise Boundary of the American Put Options on a Zero Dividend Asset.Math
- Chen, Chadam, et al. - 2008
13
American options on assets with dividends near expiry, Mathematical Finance 12
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9
Ockendom, Weak and Variational Methods for Free and Moving Boundary Problems
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8
Laplace transforms and installment options,
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8
M.: On the numerical solution of nonlinear Black-Scholes equations
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7
A fast, stable and accurate numerical method for the Black-Scholes equation of American options
- Ehrhardt, Mickens
7
The American put is log-concave in the log-price
- Ekstrom, Tysk
7
A note on a moving boundary problem arising in the American put option,
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6
2001, Analysis of the free boundary for the pricing of an American call option
- Ševčovič
5
The American put option close to expiry
- Mallier, Alobaidi
5
Calculating the early exercise boundary of American put options with an approximation formula
- Zhu, He
4
Free Boundary Problems
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3
An analytic approximation of the American put
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3
The pricing of the American option
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3
An iterative algorithm for evaluating approximations to the optimal exercise boundary for a nonlinear Black-Scholes equation
- Ševčovič
3
A new analytical approximation formula for the optimal exercise boundary of American put options
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2
The American Put Option and Its
- Bunch, Johnson
2
Numerical and analytical approximations of the early exercise boundary for the American put option
- Lauko - 2009
1
A Simple Approximation Formula For Calculating the Optimal Exercise Boundary of American Puts
- Zhu - 2008