References
- M. Broadie and J. Detemple, American option valuation: new bounds, approx-imations, and a comparison of existing, Review of Financial Studies. 9 (1996) 1211-1250. https://doi.org/10.1093/rfs/9.4.1211
- M. J. Brennan and E. S. Schwartz, Savings bonds, retractable bonds and callable bonds, Journal of Financial Economics. 5 (1977) 67-88. https://doi.org/10.1016/0304-405X(77)90030-7
- P. Carr, R. Jarrow, and R. Myneni, Alternative characterization of American put options, Mathematical Finance. 2 (1992) 87-106. https://doi.org/10.1111/j.1467-9965.1992.tb00040.x
- J. C. Cox, S. A. Ross, and M. Rubinstein, Option pricing:A simplified approach, Journal of financial Economics. 7 (1979) 229-264. https://doi.org/10.1016/0304-405X(79)90015-1
- B. Gao, J. Huang, and M. Subrahmanyyam, The valuation of American barrier options using the decomposition technique, Journal of Economic Dynamics and Control. 24 (2000) 1783-1827. https://doi.org/10.1016/S0165-1889(99)00093-7
- R. C. Heynen and H. M. Kat, Partial barrier options, The Journal of Financial Engineering. 3 (1994) 253-274.
- J. Ingersoll, Approximating American options and other financial contracts using barrier derivatives, Journal of Computational Finance. 2 (1998) 85-112. https://doi.org/10.21314/JCF.1998.019
- S. D. Jacka, Optimal stopping and the American put, Mathematical Finance. 1 (1991) 1-14.
- N. Ju, Pricing and American Option by Approximating Its Early Exercise Boundary as a Multipiece Exponential Function, The Review of Financial Stud-ies. (1998) 627-646.
- D. Jun and H. Ku, Valuation of American partial barrier options, Review of Derivatives Research. 16 (2013) 167-191. https://doi.org/10.1007/s11147-012-9081-1
- I. J. Kim, The analytic valuation of American options, Review of financial stud-ies. 3 (1990) 547-572. https://doi.org/10.1093/rfs/3.4.547
- J. Kim, B. G. Jang, and K. T. Kim, A simple iterative method for the valuation of American options, Journal of Quantitative Finance. 13 (2013) 885-895. https://doi.org/10.1080/14697688.2012.696780
- J. Liang, B. Hu, L. Jiang, and B. Bian, On the rate of convergence of the binomial tree scheme for American options, Numerische Mathematik. 107 (2007) 333-352. https://doi.org/10.1007/s00211-007-0091-0
- F. A. Longsta and E. S. Schwartz, Valuing American options by simulation:a simple least-squares approach, Review of Financial studies. 14 (2001) 113-147. https://doi.org/10.1093/rfs/14.1.113
- M. Parkinson, Option pricing:the American put, The Journal of Business. 50 (1977) 21-36. https://doi.org/10.1086/295902
- M. A. Sullivan, Valuing American put options using Gaussian quadrature. The Review of Financial Studies 13 (2000), 75-94. https://doi.org/10.1093/rfs/13.1.75