Concepedia

Fast Numerical Valuation of American, Exotic and Complex Options

M. A. H. Dempster, Joseph Hutton

SSRN Electronic Journal · 1997 · 11 citations · 8 references

DOIFull text

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Concepts

References

8

Variational inequalities and the pricing of American options

Patrick Jaillet, Damien Lamberton, Bernard Lapeyre · Acta Applicandae Mathematicae · 1990 · 433 citations

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The Pricing of the American Option

Ravi Myneni · The Annals of Applied Probability · 1992 · 361 citations · Full text

, , +7

The American Put Option Valued Analytically

Robert Geske, H. E. Johnson · The Journal of Finance · 1984 · 193 citations

, , +17

Binomial valuation of lookback options

Simon H. Babbs · Journal of Economic Dynamics and Control · 2000 · 62 citations

, , +11

Equivalence of Linear Complementarity Problems and Linear Programs in Vector Lattice Hilbert Spaces

Colin Cryer, M. A. H. Dempster · SIAM Journal on Control and Optimization · 1980 · 61 citations

, , +15