In Memory of Peter Carr (1958–2022)
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Carr, Peter, 1998.
"Randomization and the American Put,"
The Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 597-626.
- Peter Carr, 1996. "Randomization and the American Put," Finance 9610003, University Library of Munich, Germany.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Weihan Li & Jin E. Zhang & Xinfeng Ruan & Pakorn Aschakulporn, 2024. "An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1117-1153, July.
- Pedro Gete and Paolo Porchia, 2011.
"A Real Options Analysis of Dual Labor Markets and the Single Labor Contract,"
Working Papers
gueconwpa~11-11-02, Georgetown University, Department of Economics.
- Gete, Pedro & Porchia, Paolo, 2011. "A real options analysis of dual labor markets and the single labor contract," MPRA Paper 34055, University Library of Munich, Germany.
- Leippold, Markus & Vasiljević, Nikola, 2017.
"Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model,"
Journal of Banking & Finance, Elsevier, vol. 77(C), pages 78-94.
- Markus LEIPPOLD & Nikola VASILJEVIC, 2015. "Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model," Swiss Finance Institute Research Paper Series 15-08, Swiss Finance Institute, revised Mar 2015.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- Kimura, Toshikazu, 2008. "Valuing finite-lived Russian options," European Journal of Operational Research, Elsevier, vol. 189(2), pages 363-374, September.
- In oon Kim & Bong-Gyu Jang & Kyeong Tae Kim, 2013. "A simple iterative method for the valuation of American options," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 885-895, May.
- Lin, X. Sheldon & Wang, Tao, 2009. "Pricing perpetual American catastrophe put options: A penalty function approach," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 287-295, April.
- Zhiqiang Zhou & Hongying Wu, 2018. "Laplace Transform Method for Pricing American CEV Strangles Option with Two Free Boundaries," Discrete Dynamics in Nature and Society, Hindawi, vol. 2018, pages 1-12, September.
- Zbigniew Palmowski & Jos'e Luis P'erez & Kazutoshi Yamazaki, 2020. "Double continuation regions for American options under Poisson exercise opportunities," Papers 2004.03330, arXiv.org.
- Blanchet-Scalliet, Christophette & El Karoui, Nicole & Martellini, Lionel, 2005. "Dynamic asset pricing theory with uncertain time-horizon," Journal of Economic Dynamics and Control, Elsevier, vol. 29(10), pages 1737-1764, October.
- Robert Elliott & Leunglung Chan, 2004. "Perpetual American options with fractional Brownian motion," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 123-128.
- Mark Joshi & Mike Staunton, 2012. "On the analytical/numerical pricing of American put options against binomial tree prices," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 17-20, December.
- Markus Leippold & Nikola Vasiljević, 2020. "Option-Implied Intrahorizon Value at Risk," Management Science, INFORMS, vol. 66(1), pages 397-414, January.
- Rakhymzhan Kazbek & Yogi Erlangga & Yerlan Amanbek & Dongming Wei, 2024. "Isogeometric Analysis for the Pricing of Financial Derivatives with Nonlinear Models: Convertible Bonds and Options," Papers 2412.08987, arXiv.org.
- Svetlana Boyarchenko & Sergei Levendorskii, 2005.
"American options: the EPV pricing model,"
Annals of Finance, Springer, vol. 1(3), pages 267-292, August.
- Svetlana Boyarchenko & Sergei Levendorskii, 2004. "American options: the EPV pricing model," Finance 0405024, University Library of Munich, Germany.
- Walter Farkas & Ludovic Mathys & Nikola Vasiljevi'c, 2020. "Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps," Papers 2002.04675, arXiv.org, revised Jan 2021.
- Manuel Moreno & Javier Navas, 2003.
"On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives,"
Review of Derivatives Research, Springer, vol. 6(2), pages 107-128, May.
- Manuel Moreno & Javier R. Navas, 2001. "On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives," Economics Working Papers 543, Department of Economics and Business, Universitat Pompeu Fabra.
- S. G. Kou & Hui Wang, 2004. "Option Pricing Under a Double Exponential Jump Diffusion Model," Management Science, INFORMS, vol. 50(9), pages 1178-1192, September.
- Erhan Bayraktar, 2009.
"On the perpetual American put options for level dependent volatility models with jumps,"
Quantitative Finance, Taylor & Francis Journals, vol. 11(3), pages 335-341.
- Erhan Bayraktar, 2007. "On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps," Papers math/0703538, arXiv.org, revised Jan 2009.
- Tapio Behrndt & Ren-Raw Chen, 2022. "A New Look at the Swing Contract: From Linear Programming to Particle Swarm Optimization," JRFM, MDPI, vol. 15(6), pages 1-20, May.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jrisks:v:12:y:2024:i:2:p:39-:d:1340683. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.