Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/75553/1/j.1467-9965.1994.tb00059.x.pd
In this thesis we study the pricing of options of American type in a continuous time setting. We beg...
International audienceWe study the behavior of the critical price of an American put option near mat...
Pricing of American options in discrete time is considered, where the option is allowed to be based ...
An American option is a derivative security that can be exercised at any time before expiration. Und...
A general price process represented by a two-component Markov process is considered. Its first compon...
In this thesis, pricing of American options are analyzed in discrete and continuous time markets. We...
Abstract: Conditions, suitable for applications in finance, are given for the weak convergence (or c...
This paper characterizes the rate of convergence of discrete-time multinomial option prices. We show...
AbstractIn this paper, an effectively computable approximation of the price of an American option in...
Based on a sequence of discretized American option price processes under the multinomial model propo...
We estimate the rate of convergence of barrier option price in a discrete time binomial market to su...
The problem of pricing and hedging of contingent claims in incomplete markets has lead to the develo...
Abstract: A discrete time model of a financial market is considered. We focus on the study of a guar...
We discuss the `continuity correction' that should be applied to connect the prices of discretely sa...
An American option (or, warrant) is the right, but not the obligation, to purchase or sell an underl...
In this thesis we study the pricing of options of American type in a continuous time setting. We beg...
International audienceWe study the behavior of the critical price of an American put option near mat...
Pricing of American options in discrete time is considered, where the option is allowed to be based ...
An American option is a derivative security that can be exercised at any time before expiration. Und...
A general price process represented by a two-component Markov process is considered. Its first compon...
In this thesis, pricing of American options are analyzed in discrete and continuous time markets. We...
Abstract: Conditions, suitable for applications in finance, are given for the weak convergence (or c...
This paper characterizes the rate of convergence of discrete-time multinomial option prices. We show...
AbstractIn this paper, an effectively computable approximation of the price of an American option in...
Based on a sequence of discretized American option price processes under the multinomial model propo...
We estimate the rate of convergence of barrier option price in a discrete time binomial market to su...
The problem of pricing and hedging of contingent claims in incomplete markets has lead to the develo...
Abstract: A discrete time model of a financial market is considered. We focus on the study of a guar...
We discuss the `continuity correction' that should be applied to connect the prices of discretely sa...
An American option (or, warrant) is the right, but not the obligation, to purchase or sell an underl...
In this thesis we study the pricing of options of American type in a continuous time setting. We beg...
International audienceWe study the behavior of the critical price of an American put option near mat...
Pricing of American options in discrete time is considered, where the option is allowed to be based ...
DOI
Add to ORKG