Using Richardson extrapolation techniques to price American options with alternative stochastic processes-Reference-Cited by-同舟云学术

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Using Richardson extrapolation techniques to price American options with alternative stochastic processes

Published:2011-09-27 Issue:3 Volume:39 Page:383-406
ISSN:0924-865X
Container-title:Review of Quantitative Finance and Accounting
language:en
Short-container-title:Rev Quant Finan Acc

Author:

Chang Chuang-Chang,Lin Jun-Biao,Tsai Wei-Che,Wang Yaw-Huei

Publisher

Springer Science and Business Media LLC

Subject

Finance,General Business, Management and Accounting,Accounting

Link

http://link.springer.com/content/pdf/10.1007/s11156-011-0253-0.pdf

Reference41 articles.

1. Andricopoulos AD, Widdicks M, Duck PW, Newton DP (2003) Universal option valuation using quadrature methods. J Financ Econ 67:447–471

2. Bakshi G, Cao C, Chen Z (1997) Empirical performance of alternative option pricing models. J Financ 52:2003–2049

3. Barone-Adesi G, Whaley R (1987) Efficient analytic approximation of American option values. J Financ 42:301–320

4. Black F, Scholes M (1973) The pricing of options and corporate liabilities. J Polit Econ 81:637–659

5. Boyle P, Broadie M, Glasserman P (1997) Monte Carlo methods for security pricing. J Econ Dyn Control 21:1267–1322

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1. VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY;Probability in the Engineering and Informational Sciences;2018-02-14

2. A fast numerical method to price American options under the Bates model;Computers & Mathematics with Applications;2016-09

3. Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options;Communications in Nonlinear Science and Numerical Simulation;2015-05

4. Implied adjusted volatility functions: Empirical evidence from Australian index option market;AIP Conference Proceedings;2015

5. Repeated spatial extrapolation: An extraordinarily efficient approach for option pricing;Journal of Computational and Applied Mathematics;2014-01

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