The valuation and analysis of adjustable rate mortgages
Management Science
Random number generation and quasi-Monte Carlo methods
Random number generation and quasi-Monte Carlo methods
Multinomial approximating models for options with &kgr; state variables
Management Science
Mortgages and Markov chains: a simplified evaluation model
Management Science
Valuation and analysis of collateralized mortgage obligations
Management Science
The valuation of path dependent contracts on the average
Management Science
Numerical solution of partial differential equations
Numerical solution of partial differential equations
Variance-optimal hedging in discrete time
Mathematics of Operations Research
Numerical valuation of high dimensional multivariate European securities
Management Science
Pricing a class of American and European path dependent securities
Management Science
Quasi-Monte Carlo methods in numerical finance
Management Science
Estimating security price derivatives using simulation
Management Science
Management Science
Evaluating Environmental Investments: a Real Options Approach
Management Science
Empirical Martingale Simulation for Asset Prices
Management Science
Real Options and Product Life Cycles
Management Science
Quadratic Convergence for Valuing American Options Using a Penalty Method
SIAM Journal on Scientific Computing
A Jump-Diffusion Model for Option Pricing
Management Science
A Dynamic Programming Procedure for Pricing American-Style Asian Options
Management Science
The Valuation of American Options for a Class of Diffusion Processes
Management Science
Pricing and Hedging Path-Dependent Options Under the CEV Process
Management Science
Asymptotic Distribution of the EMS Option Price Estimator
Management Science
Pricing Claims Under GARCH-Level Dependent Interest Rate Processes
Management Science
Short-Term Variations and Long-Term Dynamics in Commodity Prices
Management Science
Analytical Valuation of American-Style Asian Options
Management Science
Variance Reduction Techniques for Estimating Value-at-Risk
Management Science
A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives
Management Science
Application of the Fast Gauss Transform to Option Pricing
Management Science
Pricing American Options: A Duality Approach
Operations Research
Spectral Expansions for Asian (Average Price) Options
Operations Research
Regression methods for pricing complex American-style options
IEEE Transactions on Neural Networks
Solving Free-boundary Problems with Applications in Finance
Foundations and Trends® in Stochastic Systems
Policy Iteration for Learning an Exercise Policy for American Options
Recent Advances in Reinforcement Learning
A Spectral Element Method to Price European Options. I. Single Asset with and without Jump Diffusion
Journal of Scientific Computing
On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
Journal of Computational and Applied Mathematics
Real options pricing by the finite element method
Computers & Mathematics with Applications
American Options Under Stochastic Volatility
Operations Research
Manufacturing & Service Operations Management
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This paper surveys the literature on option pricing from its origins to the present. An extensive review of valuation methods for European- and American-style claims is provided. Applications to complex securities and numerical methods are surveyed. Emphasis is placed on recent trends and developments in methodology and modeling.