Randomization and the American put

Review of Financial Studies

Volumn 11, Issue 3, 1998, Pages 597-626

  Carr, Peter ^a  

^a MORGAN STANLEY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0032334041     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/11.3.597     Document Type: Article

References (35)

1. Andersen, L., J. Andreasen, and R. Brotherton-Ratcliffe, 1998, "The Passport Option," Journal of Computational Finance, 1, 15-36.
2. Black, F., and M. Scholes, 1973, "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, 81, 637-659.
3. Brennan, M., and E. Schwartz, 1977, "The Valuation of American Put Options," Journal of Finance, 32, 449-462.
4. Broadie, M., and J. Detemple, 1996, "American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods," Review of Financial Studies, 9, 1211-1250.
5. Carr, P., and M. Chesney, 1997, "American Put Call Symmetry," forthcoming in Journal of Financial Engineering.
6. Carr, P., and D. Faguet, 1994, "Fast Accurate Valuation of American Options," working paper, Cornell University.
7. Carr, P., R. Jarrow, and R. Myneni, 1992, "Alternative Characterizations of American Put Options," Mathematical Finance, 2, 87-106.
8. Cass, D., and M. Yaari, 1967, "Individual Savings, Aggregate Capital Accumulation, and Efficient Growth," in K. Shell (ed.), Essays on the Theory of Optimal Economic Growth, MIT Press, Cambridge, Mass.
9. Cox, J., S. Ross, and M. Rubinstein, 1979, "Option Pricing: A Simplified Approach," Journal of Financial Economics, 7, 229-263.
10. Geske, R., and H. Johnson, 1984, "The American Put Option Valued Analytically," Journal of Finance, 39, 1511-1524.
11. Goldenberg, D., and R. Schmidt, 1995, "Estimating the Early Exercise Boundary and Pricing American Options," working paper, Rensselaer Polytechnic Institute.
12. Huang, J., M. Subrahmanyam, and G. Yu, 1996, "Pricing and Hedging American Options: A Recursive Integration Method," Review of Financial Studies, 9, 1, 277-300.
13. Hyer, T., A. Lipton-Lifschitz, and D. Pugachevsky, 1997, "Passport to Success," Risk, September, 127-131.
14. Jacka, S. D., 1991, "Optimal Stopping and the American Put," Mathematical Finance, 1, 1-14.
15. Jamshidian, F., 1998, "A Note on the Passport Option," working paper, Sakura Global Capital.
16. Ju, N., 1998, "Pricing an American Option by Approximating its Early Exercise Boundary as a Multipiece Exponential Function," Review of Financial Studies, 11, 627-646.
17. Kim, I. J., 1990. "The Analytic Valuation of American Puts," Review of Financial Studies, 3, 547-572.
18. Leisen, D., 1997, "The Random-Time Binomial Model," working paper. University of Bonn.
19. McKean, H. P., Jr., 1965, "Appendix: A Free Boundary Problem for the Heat Equation Arising from a Problem in Mathematical Economics," Industrial Management Review, 6, 32-39.
20. Madan, D., and E. Chang, 1997, "The Variance Gamma Process and Option Pricing," working paper. University of Maryland.
21. Marchuk, G., and V. Shaidurov, 1983, Difference Methods and Their Extrapolations, Springer Verlag, New York.
22. McDonald, R., and M. Schroder, 1990, "A Parity Result for American Options," working paper. Northwestern University.
23. Merton, R. C., 1971, "Optimum Consumption and Portfolio Rules in a Continuous Time Economy," Journal of Economic Theory, 3, 373-413.
24. Merton, R. C., 1973, "Theory of Rational Option Pricing," Bell Journal of Economics and Management Science, 4, 141-183.
25. Meyer, G. H., 1970, "On a Free Boundary Problem for Linear Ordinary Differential Equations and the One-Phase Stephan Problem," Numerical Mathematics, 16, 248-67.
26. Meyer, G. H., 1979, "One-Dimensional Free Boundary Problems," SIAM Review, 19, 17-34.
27. Meyer, G. H., and J. van der Hoek, 1994, "The Evaluation of American Options with the Method of Lines," working paper, Georgia Institute of Technology.
28. Rektorys, K., 1982, The Method of Discretization in Time and Partial Differential Equations, D. Reidel Publishing, Boston, Mass.
29. Rendleman R., and B. Bartter, 1979, "Two-State Option Pricing," Journal of Finance, 34, 1093-1110.
30. Roll, R., 1977, "An Analytic Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends," Journal of Financial Economics, 5, 251-258.
31. Rothe, E., 1930, "Zweidimensionale parabolische Randwertaufgaben als Grenzfall eindimensinaler Randwerttaufgaben," Marh. Ann. 102.
32. Rubinstein, I., and L. Rubinstein, 1993, Partial Differential Equations in Classical Mathematical Physics, Cambridge University Press, Cambridge.
33. Samuelson, P. A., 1965, "Rational Theory of Warrant Pricing," Industrial Management Review, 6, 13-31.
34. Schroeder, M., 1997, "Results on Futures, Forwards, and Options Obtained Using a Change of Numeraire," working paper, State University of New York, Buffalo.
35. Shreve, S., and J. Večeř, 1998, "Passport Option: Probabilistic Approach for Solving the Symmetric Case," working paper, Carnegie Mellon University.