Evaluation of American option prices in a path integral framework using Fourier–Hermite series expansions-Reference-Cited by-同舟云学术

Evaluation of American option prices in a path integral framework using Fourier–Hermite series expansions

Published:1999-09 Issue:9-10 Volume:23 Page:1387-1424
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Chiarella Carl,El-Hassan Nadima,Kucera Adam

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference20 articles.

1. Handbook of Mathematical Functions,1970

2. American option valuation;Broadie;The Review of Financial Studies,1996

3. Carr, P., Faguet, D., 1994. Fast accurate valuation of American options. Working Paper, Cornell University.

4. Evaluation of derivative security prices in the HJM framework as path integrals using fast fourier transform techniques;Chiarella;Journal of Financial Engineering,1997

5. Dash, J., 1986. Functional path integrals and the average bond price. CNRS Preprints.

Cited by 30 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A pseudospectral method for option pricing with transaction costs under exponential utility;Journal of Computational and Applied Mathematics;2021-10

2. Haar‐wavelet based approximation for pricing American options under linear complementarity formulations;Numerical Methods for Partial Differential Equations;2020-10-21

3. LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS;Probability in the Engineering and Informational Sciences;2020-10-09

4. A HODIE finite difference scheme for pricing American options;Advances in Difference Equations;2019-02-20

5. Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations*;Journal of Financial Econometrics;2018-10-31