The following papers selection, is divided into three parts: analytic
approximations, numerical methods, and lattice approach.

OBS: The links are not going to the comments yet (the addition of comments
is a planned future improvement).

Barone-Adesi,
G. & R.E. Whaley (1987): * Efficient Analitic
Approximation of American Option Value *

Journal of Finance, vol.42, June 1987, pp.301-320

Ho, T.S. &
R.C. Stapleton & M.G. Subrahmanyam (1994): * A Simple Technique for the Valuation and Hedging of
American Options *

Journal of Derivatives, Fall 1994, pp.52-66

Carr, P.
(1995): * The Valuation of American Exchange Options
with Application to Real Options *

Real Options in Capital Investments: Models, Strategies, and Aplications

Ed. by L. Trigeorgis, Praeger Publisher, Westport, Conn. 1995, pp.109-120

Geske, R. &
H.E. Johnson (1984): * The American Put Valued
Analytically *

Journal of Finance, vol.39, no 5, December 1984, pp. 1511-1524

Kelly, D.L.
(1994): * Valuing and Hedging American Put Options
Using Neural Networks *

Working Paper, Carnegie Mellon University, PA, December 1994

Brennan, M.J. &
E.S. Schwartz (1978): * Finite Difference Methods and Jump Processes
Arising in the Price of Contingent Claims: a Synthesis*

Journal of Financial and Quantitative Analysis no 13, September 1978, pp.
461-474

Brennan, M.J. &
E.S. Schwartz (1977): * The Valuation of American
Put Options *

Journal of Finance, vol.32, no 2, May 1977, pp.449-462

Cox, J.C. &
S.A. Ross & M. Rubinstein (1979): * Option
Pricing: A Simplified Approach *

Journal of Financial Economics, no 7, 1979, pp.229-263

Trigeorgis, L.
(1991):

* A Log-Transformed Binomial Numerical Analysis
Method for Valuing Complex Multi-Option Investment *

Journal of Financial and Quantitative Analysis, September 1991,
pp.309-326

Hull, J.C &
A. White (1994a): * Numerical Procedures for
Implementing Term Structure Models I: Single-Factor Models *

Journal of Derivatives, Fall 1994, pp.7-16

Hull, J.C &
A. White (1994b): * Numerical Procedures for
Implementing Term Structure Models II: Two-Factor Models *

Journal of Derivatives, Winter 1994, pp.37-48

**Back to the Bibliographical Resources**

**Back to Contents (the main page)**

**Barone-Adesi,
G. & R.E. Whaley (1987): ** * Efficient Analitic Approximation of
American Option Value *

.....

Back to Analytic Approximations
Bibliography

** Ho, T.S. &
R.C. Stapleton & M.G. Subrahmanyam (1994): **

.....

Back to Analytic Approximations Bibliography

** Carr, P.
(1995): ** * The Valuation of American Exchange Options with
Application to Real Options *

.....

Back to Analytic Approximations
Bibliography

** Geske, R. &
H.E. Johnson (1984): ** * The American Put Valued Analytically *

.....

Back to Analytic Approximations
Bibliography

** Kelly,
D.L. (1994): ** * Valuing and Hedging American Put Options Using
Neural Networks *

.....

Back to Analytic Approximations
Bibliography

** Brennan,
M.J. & E.S. Schwartz (1978): **

.....

Back to Numerical Methods Bibliography

** Brennan,
M.J. & E.S. Schwartz (1977): ** * The Valuation of American Put
Options *

.....

Back to Numerical Methods Bibliography

** Cox, J.C. &
S.A. Ross & M. Rubinstein (1979): ** * Option Pricing: A
Simplified Approach *

.....

Back to Lattice Approach Bibliography

**
Trigeorgis, L. (1991): **

* A Log-Transformed Binomial Numerical Analysis Method for Valuing
Complex Multi-Option Investment *

.....

Back to Lattice Approach Bibliography

** Hull, J.C &
A. White (1994a): ** * Numerical Procedures for Implementing Term
Structure Models I: Single-Factor Models *

The trinomial method. The interest rate term structure follows an aritmethic mean reverting
process. The equilibrium level (where interest rates revert) is function of time because we are working with the full term structure, not a single interest rate.
The current term structure is used to calibrate the model. Interest rate models that use (or are consistent with) the entire term structure are named * no-arbitrage models* (in contrast with the named

Back to Lattice Approach Bibliography

** Hull, J.C &
A. White (1994b): ** * Numerical Procedures for Implementing Term
Structure Models II: Two-Factor Models *

The trinomial method extension for two factors.

Back to Lattice Approach Bibliography

**Back to the Bibliographical Resources**

**Back to Contents (the main page)**