Barone-Adesi,
G. & R.E. Whaley (1987): Efficient Analitic
Approximation of American Option Value Journal of Finance, vol.42, June 1987, pp.301-320
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):
A Simple Technique for the Valuation and Hedging of American
Options
.....
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):
Finite Difference Methods and Jump Processes Arising in the
Price of Contingent Claims: a Synthesis
.....
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 equilibrium models).
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)