Series I: American Options, 1965-2002, inclusive
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60 Linear Feet
An Exact Analytic Formula for the Value of an American Put Option on a Non-Dividend-Paying Stock, 1994-08-11
box: 1, folder: 1 (Material Type: Text)
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60 Linear Feet
Bibliography on American Options, Undated
box: 1, folder: 2 (Material Type: Text)
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60 Linear Feet
American Derivatives - A Review, Aase, 1997-12-27
box: 1, folder: 3 (Material Type: Text)
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60 Linear Feet
Ahn and Wilmott, On Trading American Options, OCIAM, Undated
box: 1, folder: 4 (Material Type: Text)
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60 Linear Feet
Ait-Sahlia, F.; Optimal Stopping and Weak Convergence Methods for Some Problems in Financial Economics, 1995-03
box: 1, folder: 5 (Material Type: Text)
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60 Linear Feet
Ait-Sahlia, F.; Corrected Random Walk Approximations for Contingent Claims Problems, Stanford University, Undated
box: 1, folder: 6 (Material Type: Text)
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60 Linear Feet
Ait-Sahlia and Lai, Approximations for American Options, 1995-12-18
box: 1, folder: 7 (Material Type: Text)
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60 Linear Feet
Albanese, Jaimungal, and Rubisov; Jumping in Line, 2000-07-28
box: 1, folder: 8 (Material Type: Text)
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60 Linear Feet
Amin, Kaushik; Pricing American Options in a Term Structure Economy, Cornell Working Paper, 1988-11-07
box: 1, folder: 9 (Material Type: Text)
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60 Linear Feet
Amin, K.I. & Bodurtha, J.N.; Discrete-Time Valuation of American Optics with Stochastic Interest Rates, University of Michigan, 1993-07-1995, inclusive
box: 1, folder: 10 (Material Type: Text)
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60 Linear Feet
Amin/Khanna, Convergence of American Option Values from Discrete to Continuous Time Financial Models, 1992-04
box: 1, folder: 11 (Material Type: Text)
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60 Linear Feet
Andersen and Broadie, A Primal-Dual Simulation Algorithm for Pricing Multi-Dimensional American Options, 2001-07
box: 1, folder: 12 (Material Type: Text)
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60 Linear Feet
Averbukh, V.; Pricing American Options Using Monte Carlo Simulation, Cornell University Working Paper, 1997
box: 1, folder: 13 (Material Type: Text)
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60 Linear Feet
Avram, F.; A Method for Computing Double Band Policies for Switching Between Two Diffusions, 1996-03
box: 1, folder: 14 (Material Type: Text)
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60 Linear Feet
Balakrishna, B.S.; Analytic Representations and Approximations to American Option Pricing, UC Boulder Working Paper, 1996-02
box: 1, folder: 15 (Material Type: Text)
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60 Linear Feet
Barles, Burdeau, Romano, and Samsoen; Critical Stock Price Near Expiration, Mathematical Finance, 1995-04
box: 1, folder: 16 (Material Type: Text)
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60 Linear Feet
Barles, G.; Convergence of Numerical Schemes for Parabolic Equations Arising in Finance Theory, Newton Institute - Cambridge, 1995-04
box: 1, folder: 17 (Material Type: Text)
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60 Linear Feet
Barone-Adesi, Giovanni; American Path-Dependent Options, Undated
box: 1, folder: 18 (Material Type: Text)
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60 Linear Feet
Barone-Adesi, Giovanni; The Free Boundary of American Puts, 1992-04-09
box: 1, folder: 19 (Material Type: Text)
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60 Linear Feet
Baron-Adesi, Free Boundary Problems in the Valuation of Securities, 1989-11-14-1990-04-03, inclusive
box: 1, folder: 20 (Material Type: Text)
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60 Linear Feet
G. Barone-Adesi and M. Chesney, American Path-Dependent Options, Undated
box: 1, folder: 21 (Material Type: Text)
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60 Linear Feet
Barone-Adesi/Elliot, Approximations for the Values of American Options, 1989-10-27
box: 1, folder: 22 (Material Type: Text)
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60 Linear Feet
Barone-Adesi and Elliot, The Valuation of American Options, University of Alberta, 1989-10-05-1990-08-08, inclusive
box: 1, folder: 23 (Material Type: Text)
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60 Linear Feet
Baron-Adesi/Whaley, Efficient Analytic Approximation of American Option Values, Journal of Finance, 1987, Undated
box: 1, folder: 24 (Material Type: Text)
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60 Linear Feet
Barone-Adesi and Whaley, On the Valuation of American Put Options on Dividend-Paying Stocks, Undated
box: 1, folder: 25 (Material Type: Text)
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60 Linear Feet
J. Barraquand and D. Martineau, Numerical Valuation of High Dimensional Multivariate American Securities, Digital Equipment Corporation, 1994-04
box: 1, folder: 26 (Material Type: Text)
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60 Linear Feet
Basso, Nardon, and Pianca; The Optimal Exercise Boundary of American Options, 2002-03-2002-04-19, inclusive
box: 1, folder: 27 (Material Type: Text)
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60 Linear Feet
Basso, Nardon, and Pianca; An Analysis of the Effects of Continuous Dividends on the Exercise of American Options, Venice Working Paper, 2002-07-15
box: 1, folder: 28 (Material Type: Text)
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60 Linear Feet
Basso, Nardon, and Pianca; Discrete and Continuous Time Approximations of the Optimal Exercise Boundary of American Options, 2002-03-25
box: 1, folder: 29 (Material Type: Text)
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60 Linear Feet
Bates, D.; Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options, Review of Financial Studies, 1996
box: 1, folder: 30 (Material Type: Text)
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60 Linear Feet
A New Look at Optimal Stopping Problems Related, 1997
box: 1, folder: 31 (Material Type: Text)
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60 Linear Feet
Bjerksund and Stensland, Closed-Form Approximation of American Options, Scandinavian Journal of Management, 1993
box: 1, folder: 32 (Material Type: Text)
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60 Linear Feet
Black/Scholes, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, Undated
box: 1, folder: 33 (Material Type: Text)
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60 Linear Feet
Bodurtha, Courtadon; The Probability of Early Exercise: Foreign Currency Options and Foreign Currency Futures Options, 1993-01
box: 1, folder: 34 (Material Type: Text)
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60 Linear Feet
Bossaerts, Peter; Simulation Estimators of Optimal Early Exercise, 1989-02
box: 1, folder: 35 (Material Type: Text)
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60 Linear Feet
Beyarchenko, S.; Pricing of the American Put Under Levy Processes, University of Pennsylvania, 2002
box: 1, folder: 36 (Material Type: Text)
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60 Linear Feet
Boyle, Phelim; Options: A Monte Carlo Approach, Journal of Financial Economics, 1977
box: 1, folder: 37 (Material Type: Text)
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60 Linear Feet
Green, Richard; The Accelerated Binomial Option Pricing Model, 1991-06
box: 1, folder: 38 (Material Type: Text)
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60 Linear Feet
Brennan & Schwartz, The Valuation of American Put Options, 1977-05
box: 1, folder: 39 (Material Type: Text)
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60 Linear Feet
Brennan/Schwartz, Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis, 1978
box: 1, folder: 40 (Material Type: Text)
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60 Linear Feet
Brill/Harriff, Pricing American Options: Managing Risk with Early Exercise, 1986
box: 1, folder: 41 (Material Type: Text)
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60 Linear Feet
Broadie & Detemple, The Valuation of American Options on Multiple Assets, 1994
box: 1, folder: 42 (Material Type: Text)
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60 Linear Feet
Broadie, M. and Detemple, J; American Capped Call Options on Dividend-Paying Assets, 1993-1995, inclusive
box: 1, folder: 43 (Material Type: Text)
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60 Linear Feet
Broadie & Detemple, American Options on Dividend-Paying Assets, Undated
box: 1, folder: 44 (Material Type: Text)
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60 Linear Feet
Broadie, M. and Detemple, J.; American Option Valuation: New Bonds, Approximations, and a Comparison of Existing Methods, 1995
box: 1, folder: 45 (Material Type: Text)
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60 Linear Feet
Broadie, Detemple, Ghysels, & Torres; Nonparametric Estimation of American Options Exercise Boundaries and Call Prices, 1996
box: 1, folder: 46 (Material Type: Text)
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60 Linear Feet
Broadie, Detemple, Ghysels & Torres; American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation, Undated
box: 1, folder: 47 (Material Type: Text)
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60 Linear Feet
Broadie & Glasserman, Pricing American-Style Securities Using Simulation, Undated
box: 1, folder: 48 (Material Type: Text)
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60 Linear Feet
Broader & Glasserman, A Stochastic Mesh Method for Pricing High-Dimensional American Options, 1997-11
box: 1, folder: 49 (Material Type: Text)
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60 Linear Feet
Broader & Glasserman, Monte Carlo Methods for Pricing High-Dimensional American Options: An Overview, 1997-10
box: 1, folder: 50 (Material Type: Text)
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60 Linear Feet
Bunch, D.S. & Johnson, H.; A Simple and Numerically Efficient Method for American Puts Using a Modified Geske-Johnson Approach, 1992-06
box: 1, folder: 51 (Material Type: Text)
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60 Linear Feet
Bunch & Johnson, The American Put Option and Its Critical Stock Price, 2000-10
box: 1, folder: 52 (Material Type: Text)
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60 Linear Feet
Cadenillas, Elliott, & Leger; On the Pricing of American Options When the Asset Follows a Mean-Reverting Process, 2002-06-23
box: 1, folder: 53 (Material Type: Text)
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60 Linear Feet
Carr, Elliott, Geman, & Madan; Beyond the American Put, 1997-10
box: 1, folder: 54 (Material Type: Text)
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60 Linear Feet
Chiarella, El-Hassan & Kucera; Evaluation of American Option Prices in a Path Integral Framework Using Fourier-Hermite Series Expansions, 1997-09
box: 1, folder: 55 (Material Type: Text)
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60 Linear Feet
Chesney & Lefoll, Premature Exercise and American Put Evaluation, 1993-03
box: 1, folder: 56 (Material Type: Text)
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60 Linear Feet
Carverhill/Webber, American Options: Theory and Numerical Analysis, 1988-07
box: 1, folder: 57 (Material Type: Text)
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60 Linear Feet
Chang, Chung, & Stapleton; Richardson Extrapolation Techniques for Pricing American-Style Options, 2001-05-21
box: 1, folder: 58 (Material Type: Text)
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60 Linear Feet
Chan, S.; Linear Complementarity and the American Put - A GAMS/PATH Implementation, 1998-09-03
box: 1, folder: 59 (Material Type: Text)
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60 Linear Feet
Chen & Yeh, Analytical Upper Bounds for American Option Prices, 1999-12
box: 1, folder: 60 (Material Type: Text)
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60 Linear Feet
Chesney, Marc; Pricing American Currency Options: An Analytical Approach, 1989
box: 1, folder: 61 (Material Type: Text)
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60 Linear Feet
Chesney, Elliott, Gibson; Analytical Solutions to the Pricing of American Bond and Yield Options, 1991-05
box: 1, folder: 62 (Material Type: Text)
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60 Linear Feet
M. Chesney & R. Gibson, State Space Symmetry and Two Factor Option Pricing Models, IGBF IBFM #9402,1993, 1993-10
box: 1, folder: 63 (Material Type: Text)
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60 Linear Feet
Clarke & Parrott, The Multigrid Solution of Two-factor American Put Options, 1996-08
box: 1, folder: 64 (Material Type: Text)
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60 Linear Feet
Clewlow/Carverhill, Efficient Monte Carlo Valuation and Hedging of Contingent Claims, 1992-03
box: 1, folder: 65 (Material Type: Text)
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60 Linear Feet
Cornwall/Price, The Wise, For Cure, on Exercise Depend; Risk Magazine, Undated
box: 1, folder: 66 (Material Type: Text)
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60 Linear Feet
Courtadon, G; A More Accurate Finite Difference Approximation for the Valuation of Options, Journal of Financial and Quantitative Analysis, 1982-12
box: 1, folder: 67 (Material Type: Text)
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60 Linear Feet
Cox & Rubinstein, Options Markets, Undated
box: 1, folder: 68 (Material Type: Text)
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60 Linear Feet
Curran, M.; Accelerating American Option Pricing in Lattices, 1994-12-06
box: 1, folder: 69 (Material Type: Text)
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60 Linear Feet
Davis, M.H.A. & Zariphopoulou, T.; American Options and Transaction Fees, Undated
box: 1, folder: 70 (Material Type: Text)
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60 Linear Feet
Dayanik, Savas; On the Optimal Stopping Problems for One-Dimensional Diffusions with Random Discounting, Undated
box: 1, folder: 71 (Material Type: Text)
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60 Linear Feet
Dayanik, S. & Karatzas, I.; On the Optimal Stopping Problem for One-Dimensional Diffusions, Undated
box: 1, folder: 72 (Material Type: Text)
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60 Linear Feet
Decamps, J.P. & Rochet, J.C.; A Variational Approach for Pricing Options and Corporate Bonds, 1993-07-19
box: 1, folder: 73 (Material Type: Text)
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60 Linear Feet
Delbaen, F.; The Ratio of American & European Put Options When Time to Maturity is Small, 2000-05
box: 1, folder: 74 (Material Type: Text)
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60 Linear Feet
Dempster & Hutton, Fast Numerical Valuation of American, Exotic and Complex Options; Applied Mathematical Finance, 1997-01
box: 1, folder: 75 (Material Type: Text)
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60 Linear Feet
Dempster & Hutton, Pricing American Stock Options by Linear Programming, 1999-08-24
box: 1, folder: 76 (Material Type: Text)
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60 Linear Feet
Dempster & Richards,Pricing Exotic American Options Fitting the Volatility Smile, 1999-03
box: 1, folder: 77 (Material Type: Text)
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60 Linear Feet
Detemple, Feng, & Tian; The Valuation of American Options on the Minimum of Two Dividend-Paying Assets, 2001-02-05
box: 1, folder: 78 (Material Type: Text)
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60 Linear Feet
Detemple & Tian, The Valuation of American Options for a Class of Diffusion Processes, 2002-02
box: 1, folder: 79 (Material Type: Text)
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60 Linear Feet
Dewynne, J. N. & Howison, S.D.; Some Mathematical Results in the Pricing of American Options, European Journal of Applied Mathematics 4, 1993
box: 1, folder: 80 (Material Type: Text)
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60 Linear Feet
Duan & Simonato, American Option Pricing under GARCH by a Markov Chain Approximation, 1997-05
box: 1, folder: 81 (Material Type: Text)
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60 Linear Feet
Karoui, N.E. & Karatzas, I.; The Optimal Stopping Problem for a General American Put-Option, Undated
box: 1, folder: 82 (Material Type: Text)
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60 Linear Feet
Evans, Kuske, & Keller; American Options with Dividends Near Expiry, 2000-08-01
box: 1, folder: 83 (Material Type: Text)
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60 Linear Feet
Firoozye, N.; An Explicit Formula for American Puts, Undated
box: 1, folder: 84 (Material Type: Text)
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60 Linear Feet
Fischer, E.O.; Analytic Approximation for the Valuation of American Put Options on Stocks with Known Dividends, 1990-12
box: 1, folder: 85 (Material Type: Text)
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60 Linear Feet
Flamouris, D.V. & Giamouridis, D.G.; "Estimating Implied PDFs from American Options: A New Semi-Parametric Approach", 2000-10-12
box: 1, folder: 86 (Material Type: Text)
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60 Linear Feet
Forsyth & Vetzal, Quadratic Convergence of a Penalty Method for Valuing American Options, Undated
box: 1, folder: 87 (Material Type: Text)
Extent
60 Linear Feet
Geske & Shastri, Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques, 1985-03
box: 1, folder: 88 (Material Type: Text)
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60 Linear Feet
Gandhi, Kooros, & Salkin; An Improved Analytic Approximation for American Option Pricing, 1993-03-01
box: 1, folder: 89 (Material Type: Text)
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60 Linear Feet
Garcia, D.; "A Monte Carlo Method for Pricing American Options", 1999-08-1999-09, inclusive
box: 1, folder: 90 (Material Type: Text)
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60 Linear Feet
A Monte Carlo Method for Pricing American Options, 2000-08-30
box: 1, folder: 91 (Material Type: Text)
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60 Linear Feet
Garman, M.; Semper Tempus Fugit, Risk Magazine, Undated
box: 1, folder: 92 (Material Type: Text)
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60 Linear Feet
Gao, Huang, & Subrahmanyam; An Analytical Approach to the Valuation of American Path-Dependent Options, 1996-07-27
box: 1, folder: 93 (Material Type: Text)
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60 Linear Feet
Gerber & Shiu, Martingale Approach to Pricing Perpetual American Options on Two Stocks, 1996
box: 1, folder: 94 (Material Type: Text)
Extent
60 Linear Feet
Geske, R.; The Valuation of Compound Options, Journal of Financial Economics, 1979
box: 1, folder: 95 (Material Type: Text)
Extent
60 Linear Feet
Geske and Johnson, The American Put Option Valued Analytically, Journal of Finance, Dec '84, Undated
box: 2, folder: 1 (Material Type: Text)
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60 Linear Feet
Geske, Robert and Shastri, Kuldeep; The Early Exercise of American Puts, July 1981, Undated
box: 2, folder: 2 (Material Type: Text)
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60 Linear Feet
Goldenberg and Schmidt, Estimating the Early Exercise Boundary and Pricing American Options, Undated
box: 2, folder: 3 (Material Type: Text)
Extent
60 Linear Feet
Goodman and Ostrov; On the Early Exercise Boundary of the American Put Option, 2000-08
box: 2, folder: 4 (Material Type: Text)
Extent
60 Linear Feet
Path-Dependent Options: Extending the Monte Carlo Simulation Approach, Working Paper, 1993-11-30
box: 2, folder: 5 (Material Type: Text)
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60 Linear Feet
Grant, Vora and Weeks; Simulation and the Early-Exercise Option Problem, Journal of Financial Economics, Undated
box: 2, folder: 6 (Material Type: Text)
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60 Linear Feet
Gukhal, Chandrasekhar; Efficient Numerical Methods for Pricing American Options, Working Paper, 1996-11
box: 2, folder: 7 (Material Type: Text)
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60 Linear Feet
Gukhal, Reddy; The Analytical Valuation of American Options on Jump-Diffusion Processes, Columbia Working Paper, 1996
box: 2, folder: 8 (Material Type: Text)
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60 Linear Feet
Gukhal, C.; A General Approach to the Analytical Valuation of American Options, 2001-11-24
box: 2, folder: 9 (Material Type: Text)
Extent
60 Linear Feet
Guo and Zhang, Closed-Form Solutions for Perpetual American Put Options with Regime Switching, Undated
box: 2, folder: 10 (Material Type: Text)
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60 Linear Feet
Guth, Michael; Exercise by Numbers, 1992-02
box: 2, folder: 11 (Material Type: Text)
Extent
60 Linear Feet
Kamrad/Ritchken, "Multinomial Approximating Models for Options with k State Variables", Undated
box: 2, folder: 12 (Material Type: Text)
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60 Linear Feet
Karatzas, Ioannis; Optimization Problems in the Theory of Continuous Trading, Undated
box: 2, folder: 13 (Material Type: Text)
Extent
60 Linear Feet
Karatzas, Ioannis; On the Pricing of American Options, Applied Mathematics and Optimization, 1988, Undated
box: 2, folder: 14 (Material Type: Text)
Extent
60 Linear Feet
Kelly, D.; Valuing and Hedging American Put Options Using Neural Networks, Carnegie Mellon University Working Paper, 1994-12-15
box: 2, folder: 15 (Material Type: Text)
Extent
60 Linear Feet
Khaliq, Voss, and Kazmi; Valuation of American Options via Penalty Methods, Undated
box: 2, folder: 16 (Material Type: Text)
Extent
60 Linear Feet
Kim, In Joon; The Analytic Valuation of American Options on Futures Contracts, 1989-10
box: 2, folder: 17 (Material Type: Text)
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60 Linear Feet
Kim, In Joon; The Analytic Valuation of American Options, Working Paper S-90-15, 1989-03
box: 2, folder: 18 (Material Type: Text)
Extent
60 Linear Feet
Kim, J.; Analytic Approximation of the Optimal Exercise Boundaries for American Futures Options, Undated
box: 2, folder: 19 (Material Type: Text)
Extent
60 Linear Feet
Kim, J.; The Analytic Valuation of American Options, Review of Financial Studies, 1990, Undated
box: 2, folder: 20 (Material Type: Text)
Extent
60 Linear Feet
Kim, Hongshik; Predicting Early Exercise Premia in American Put Prices, 1994-09-06
box: 2, folder: 21 (Material Type: Text)
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60 Linear Feet
Kim, Yu; A Simplified Approach to the Valuation of American Options and its Applications, 1993-02
box: 2, folder: 22 (Material Type: Text)
Extent
60 Linear Feet
Kuske and Keller, Optimal Exercise Boundary for an American Put Option, Applied Mathematical Finance 98, 2001
box: 2, folder: 23 (Material Type: Text)
Extent
60 Linear Feet
Kusuoka, S.; A Remark on American Securities, Undated
box: 2, folder: 24 (Material Type: Text)
Extent
60 Linear Feet
Lamberton, D.; Error Estimates for the Binomial Approximation of American Put Options, Annals of Applied Probability, 1998, Undated
box: 2, folder: 25 (Material Type: Text)
Extent
60 Linear Feet
Lamberton, Damien; Convergence of the Critical Price in the Approximation of American Options, 4/93, Undated
box: 2, folder: 26 (Material Type: Text)
Extent
60 Linear Feet
Lamberton, D.; Brownian Optimal Stopping and Random Walks, 1998
box: 2, folder: 27 (Material Type: Text)
Laurence, Peter; Course on American Options, 2001
box: 2, folder: 28 (Material Type: Text)
Laurence, P.; Bounds for the Price of an American Option on Several Assets: Index and Spread Options, 2001-03-11
box: 2, folder: 29 (Material Type: Text)
Laurence, Peter; Introduction to the Valuation of American Options: Qualitative Properties, Undated
box: 2, folder: 30 (Material Type: Text)
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60 Linear Feet
Laurence, Peter; Bounds for the Price of an American Option on Several Assets: Index and Spread Options, 2001
box: 2, folder: 31 (Material Type: Text)
Extent
60 Linear Feet
Leisen, D.P.J.; The Random-Time Binomial Model, 1997
box: 2, folder: 32 (Material Type: Text)
Extent
60 Linear Feet
Lewis, Alan; Series Solution to the Critical Stock Price, 1995-01
box: 2, folder: 33 (Material Type: Text)
Extent
60 Linear Feet
Little, T.; The Early Exercise Boundary for the American Put-Option as the Solution of a Volterra Equation, 1998-02-17
box: 2, folder: 34 (Material Type: Text)
Extent
60 Linear Feet
Little, Pant & Hou; A New Integral Representation of the Early Exercise Boundary for American Put Options, 2000
box: 2, folder: 35 (Material Type: Text)
Extent
60 Linear Feet
Longstaff & Schwartz, Valuing American Options by Simulation: A Simple Least-Squares Approach, 1998-10
box: 2, folder: 36 (Material Type: Text)
Extent
60 Linear Feet
Hansen & Jorgensen, Analytical Valuation of American-Style Asian Options, 1997-11-12
box: 2, folder: 37 (Material Type: Text)
Extent
60 Linear Feet
Hansen & Mussavian, Dual American Option Pricing, 1997-12-12
box: 2, folder: 38 (Material Type: Text)
Extent
60 Linear Feet
Hansen & Osterby, Accelerating the Crank-Nicolson Method in American Option Pricing, 1998-04-07
box: 2, folder: 39 (Material Type: Text)
Extent
60 Linear Feet
Hirsa & Madan, Pricing American Options Under Variance Gamma, 2001-08-16
box: 2, folder: 40 (Material Type: Text)
Extent
60 Linear Feet
Ho, Stapleton & Subrahmanyam; A Simple Technique for the Valuation and Hedging of American Options, 1994
box: 2, folder: 41 (Material Type: Text)
Extent
60 Linear Feet
Ho, Stapleton & Subrahmanyam; A Valuation of American Options with Stochastic Interest Rates: A Generalization of the Geske-Johnson Technique, 1996-09-17
box: 2, folder: 42 (Material Type: Text)
Extent
60 Linear Feet
Hoffmann, C.; Valuation of American Options, 2000-10-08
box: 2, folder: 43 (Material Type: Text)
Extent
60 Linear Feet
Huang & Pang, An MPEC Approach to Inverse Pricing of American Options: The Case of an Implied Volatility Surface, 1999-11-21
box: 2, folder: 44 (Material Type: Text)
Extent
60 Linear Feet
Huang & Pang, Pricing American Options with Transaction Costs by Complementarity Methods, 1999-10
box: 2, folder: 45 (Material Type: Text)
Extent
60 Linear Feet
Huang & Pang, Option Pricing and Linear Complimentarity, 1998
box: 2, folder: 46 (Material Type: Text)
Extent
60 Linear Feet
Ibanez & Zapatero, Monte-Carlo Valuation of American Options Through Computation of the Optimal Exercise Frontier, 1999
box: 2, folder: 47 (Material Type: Text)
Extent
60 Linear Feet
Ibanez, A.; Valuation of Contingent Claims with Multiple Earlier Exercise Opportunities, 2000-04-03
box: 2, folder: 48 (Material Type: Text)
Extent
60 Linear Feet
Ingersoll, Jonathan E. Jr.; Approximating American Options and Other Financial Contracts Using "Barrier" Derivatives, 1997-05
box: 2, folder: 49 (Material Type: Text)
Extent
60 Linear Feet
Jacka, S.D.; Optimal Stopping and the American Put, 1991
box: 2, folder: 50 (Material Type: Text)
Extent
60 Linear Feet
Jackel & Rebonato, An Efficient and General Method to Value American-Style Equity and FX Options in the Presence of User-Defined Smiles and Time-Dependent Volatility, 2000-03-27
box: 2, folder: 51 (Material Type: Text)
Extent
60 Linear Feet
Jaillet, Lamberton & Lapeyre; Variational Inequalities and the Pricing of American Options, Undated
box: 2, folder: 52 (Material Type: Text)
Extent
60 Linear Feet
Jamshidian, Farshid; Formulas for American Options, 1989-1990, inclusive
box: 2, folder: 53 (Material Type: Text)
Extent
60 Linear Feet
Jamshidian, Farshid; An Analysis of American Options, 1993
box: 2, folder: 54 (Material Type: Text)
Extent
60 Linear Feet
Johnson, H.E.; An Analytic Approximation for the American Put Price, 1983
box: 2, folder: 55 (Material Type: Text)
Extent
60 Linear Feet
Jorgensen, P.L.; American Bond Option Pricing in One-Factor Dynamic Term Structure Models, 1997
box: 2, folder: 56 (Material Type: Text)
Extent
60 Linear Feet
Jorgensen, P.; American Option Pricing, 1994-11
box: 2, folder: 57 (Material Type: Text)
Extent
60 Linear Feet
Joubert & Rogers, Fast, Accurate and Inelegant Valuation of American Options, Undated
box: 2, folder: 58 (Material Type: Text)
Extent
60 Linear Feet
Jourdain & Martini, Yet Another Approximation of the American Put, 1999-12-23
box: 2, folder: 59 (Material Type: Text)
Extent
60 Linear Feet
Jourdan & Martini, American Prices Embedded in European Prices, 1999-11-20
box: 2, folder: 60 (Material Type: Text)
Extent
60 Linear Feet
Ju, Nengjiu; Pricing an American Option by Approximating Its Early Exercise Boundary As a Multi-Piece Exponential Function, 1997
box: 2, folder: 61 (Material Type: Text)
Extent
60 Linear Feet
Ju, Nengjiu; An Efficient and Reliable Approximate Formula for Pricing American Options, 1997
box: 2, folder: 62 (Material Type: Text)
Extent
60 Linear Feet
Ju & Zhong, An Approximate Formula for Pricing American Options, 1999
box: 2, folder: 63 (Material Type: Text)
Extent
60 Linear Feet
MacMillan, L.W.; Analytic Approximation for the American Put Option, 1986
box: 2, folder: 64 (Material Type: Text)
Extent
60 Linear Feet
Maini & Fernandes, Successive Over Relaxation Method for American Options, 1995-03-23
box: 2, folder: 65 (Material Type: Text)
Extent
60 Linear Feet
Mane, S.R.; A Fully Explicit Analytic Approximation Formula for Pricing American Options, 1999-06
box: 2, folder: 66 (Material Type: Text)
Extent
60 Linear Feet
Mane, S.R.; The Early Exercise Boundary of American Options near Expiry, Undated
box: 2, folder: 67 (Material Type: Text)
Extent
60 Linear Feet
Mane, S.; Asymptotic Behavior of Early Exercise Boundary, 1999-2000, inclusive
box: 2, folder: 68 (Material Type: Text)
Extent
60 Linear Feet
Mane, S.R.; A Put-Call Symmetric Analytic Approximation Formula for Pricing American Options, Undated
box: 2, folder: 69 (Material Type: Text)
Extent
60 Linear Feet
Menkveld & Vorst, A Pricing Model for American Options with Stochastic Interest Rates, Erasmus University, Undated
box: 2, folder: 70 (Material Type: Text)
Extent
60 Linear Feet
Marcozzi, M.; On the Approximation of Optimal Stopping Problems with Application to Financial Mathematics; University of Nevada, Las Vegas; Working Paper, '99, Undated
box: 2, folder: 71 (Material Type: Text)
Extent
60 Linear Feet
Mason, Scott; The Numerical Analysis of Certain Free Boundary Problems Arising in Financial Economics, 1977-12
box: 2, folder: 72 (Material Type: Text)
Extent
60 Linear Feet
Mastroeni and Matzeu, An Integro-Differential Parabolic Variational Inequality Connected with the Problem of the American Option Pricing, Zeit, Undated
box: 2, folder: 73 (Material Type: Text)
Extent
60 Linear Feet
McDonald and Schroder, A Parity Result for American Options, 1990-11-15
box: 2, folder: 74 (Material Type: Text)
Extent
60 Linear Feet
McMurray/Yadav, The Early Exercise Premium in American Option Prices Direct Empirical Evidence, 1993-06-18
box: 2, folder: 75 (Material Type: Text)
Extent
60 Linear Feet
Merton, Robert; Theory of Rational Option Pricing, Undated
box: 2, folder: 76 (Material Type: Text)
Extent
60 Linear Feet
Meyer, Gunter H.; Front Tracking of Free Boundaries with Curvature Terms, 1991
box: 2, folder: 77 (Material Type: Text)
Extent
60 Linear Feet
Meyer, G.; The Numerical Valuation of Options with Underlying Jumps, Acta Mathematica Universitatis Comenianae, 1998
box: 2, folder: 78 (Material Type: Text)
Extent
60 Linear Feet
Meyer and van der Hoek, The Evaluation of American Options with the Method of Lines, 1996
box: 2, folder: 79 (Material Type: Text)
Extent
60 Linear Feet
Myneni, Ravi; The Pricing of the American Option, Stanford Working Paper, 1990-06
box: 2, folder: 80 (Material Type: Text)
Extent
60 Linear Feet
Myneni, Ravi; The Pricing of the American Option, 1992
box: 2, folder: 81 (Material Type: Text)
Extent
60 Linear Feet
Myneni, Ravi; The Optimal Exercise Boundary and the American Equity Put, 1989-08
box: 2, folder: 82 (Material Type: Text)
Extent
60 Linear Feet
Myneni, Ravi; The Pricing of the American Option, Stanford Working Paper, 1990-06
box: 2, folder: 83 (Material Type: Text)
Extent
60 Linear Feet
Noubir, M.; "Pricing American and Bermudan Interest Rate Options in the Market Models," Credit Lyonnais-Risk Conferences, Undated
box: 2, folder: 84 (Material Type: Text)
Extent
60 Linear Feet
Omberg, Edward; The Valuation of American Put Options with Exponential Exercise Policies, Advances in Futures and Options Research, 1987
box: 2, folder: 85 (Material Type: Text)
Extent
60 Linear Feet
Omberg, Arbitraging Options: The Case of the Live Real Option and Dead Synthetic Option, 1989-01
box: 2, folder: 86 (Material Type: Text)
Extent
60 Linear Feet
Parkinson, Michael JB; Option Pricing: The American Put, Undated
box: 2, folder: 87 (Material Type: Text)
Extent
60 Linear Feet
Rogers, L.C.G.; Monte Carlo Valuation of American Options, University of Bath, Undated
box: 2, folder: 88 (Material Type: Text)
Extent
60 Linear Feet
Samuelson/McKean, Rational Theory of Warrant Pricing Appendix: A Free Boundary Problem for the Heat Equation Arising from a Problem in Mathematical Economics, Industrial Management Review, 1965
box: 2, folder: 89 (Material Type: Text)
Extent
60 Linear Feet
Reddy, Verification of American Put, 1990-08-2000-06, inclusive
box: 3, folder: 1 (Material Type: Text)
Extent
60 Linear Feet
Salminen, Paavo; Optimal Stopping and American Put Options, Theory of Stochastic Processes, 1995
box: 3, folder: 2 (Material Type: Text)
Extent
60 Linear Feet
Schroder, Mark; A Reduction Method Applicable to Compound Option Formulas, Management Science, 1989
box: 3, folder: 3 (Material Type: Text)
Extent
60 Linear Feet
Schroder, M.; Computing Parity Results for American Options Using a Change of Measure, SUNY Buffalo Working Paper, 1996-05
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Extent
60 Linear Feet
Stapleton/Subrahmanyam, "The Valuation of American Options in Stochastic Interest Rate Economies", 1991-08
box: 3, folder: 5 (Material Type: Text)
Extent
60 Linear Feet
Stensland and Tjostheim, Optimal Investments Using Empirical Dynamic Programming with Application to Natural Resources, 1989-01
box: 3, folder: 6 (Material Type: Text)
Extent
60 Linear Feet
Stentoft, L.; Assessing the Least Squares Monte-Carlo Approach to American Option Valuation, 2001-08
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Extent
60 Linear Feet
Stentoft, L.; Convergence of the Least Squares Monte-Carlo Approach to American Option Valuation, 2002-06
box: 3, folder: 8 (Material Type: Text)
Extent
60 Linear Feet
Stentoft, Lars; Pricing American Options when the Underlying Stock Price Exhibits Time-Varying Volatility, 2002-06
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Extent
60 Linear Feet
Su, Yi: University of Maryland at Risk Conferences; "Pricing American Options via Simulation: A Comparison of Monte Carlo Simulation Approaches", Undated
box: 3, folder: 10 (Material Type: Text)
Subrahmanyam, M.G. & Yu, G.G.; Pricing and Hedging American Options: A Unified Method and its Efficient Implementation, Working Paper, 1993-09
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Taylor, Howard; Management Science, September '67; Evaluating a Call Option and Optimal Timing Strategy in the Stock Market, 1975
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box: 3, folder: 13 (Material Type: Text)
Tsitsiklis & Van Roy, Optimal Stopping of Markov Processes: Hilbert Space Theory, Approximation Algorithms, & an Application to Pricing High-Dimensional Financial Derivatives, 1998-10
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Tsitsiklis & Van Roy, Regression Methods for Pricing Complex American-Style Options, 2000-08
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Wu, L., Kwok, Y., Zhu, Y.; Fixed-Domain Finite Difference Methods for American Options, Undated
box: 3, folder: 21 (Material Type: Text)
Wu & Kwok, A Front-Fixing Finite Difference Method for the Valuation of American Options, Undated
box: 3, folder: 22 (Material Type: Text)
Yaksick, R.; Expected Optimal Exercise Time of a Perpetual American Option: A Closed-Form Solution, Undated
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Yang & Yuan, Another New Way to Price American Options by Using the Interior Point Method, 1999-08-05
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Yu, Gang; Valuation of American Options in Stochastic Interest Rate Economics, 1992-03
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Yu, Gang George; Essays on the Valuation of American Options, 1993-04
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Yu, Gang; Valuation of American Options: A Simplified Approach and Applications, 1992-12
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A Simplified Approach to the Valuation of American Options and Applications, Undated
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Yu, Kwok & Wu; Valuation of American Lookback Options, 1997-10
box: 3, folder: 29 (Material Type: Text)
Zhang, Xiao; Numerical Analysis of American Option Pricing in a Jump-Diffusion Model, Undated
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Bates, David; The Crash of '87, Relative Prices of OTM Calls & Puts under Standard Distributional Hypotheses, Undated
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T. Gayley, A Mathlink Program for Accessing Binary Files, Mathematica Journal, 1994
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A. Conze, European Path Dependent Options: The Case of Geometric Averages, 1989-09
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M. Curran, Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price, 1993-05
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D. Grant, G. Vora & D. Weeks; Path-Dependent Options: Extending the Monte Carlo Simulation Approach, 1993-11
box: 3, folder: 35 (Material Type: Text)
J. M. Haykov, A Better Control Variate for Pricing Standard Asian Options, Journal of Financial Engineering 2, 207-216, 1993-09
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J. Hull, Interest Rate Exotics, Risk Exotic Options Conference, 1994-04
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F. Jamshidian, Hedging Quantos, Differential Swaps and Ratios, 1993-05
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E. Reiner, Quanto Mechanics, Risk, Undated
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M. Rubenstein, Two Into One, Risk 4, #5, 1991-05
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M. York, On Some Exponential Functionals of Browian Motion, Advances in Applied Probability 24, 509-531, 1992
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P.P. Boyle & S.H. Lau, Bumping Up Against the Barrier with the Binomial Method, 1994
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Extent
60 Linear Feet
G.L. Gastineau, An Introduction to Special-Purpose Derivatives: Roll Up Puts, Roll Down...J. Derivatives, 1994
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Extent
60 Linear Feet
C.B. Huynh, Back to Baskets, Undated
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Extent
60 Linear Feet
H.M. Kat, Contingent Premium Options, 1994
box: 3, folder: 45 (Material Type: Text)
Extent
60 Linear Feet
S.H. Babbs, Binomial Valuation of Lookback Options, 1992-04
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Extent
60 Linear Feet
C.A. Ball, W.N. Torous & A.E. Tschoegl; On Inferring Standard Deviations from Path Dependent Options, Economics Letters 18, 1985-01-15
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Extent
60 Linear Feet
D. Beaglehole; Down and Out, Up and In Options, Undated
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Extent
60 Linear Feet
R. Benson & N. Daniel; Up, Over and Out; Risk 4 No. 6, 1991-06
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Extent
60 Linear Feet
Y.Z. Bergman, Pricing Path Contingent Claims, Research In Finance 5, 1985
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Extent
60 Linear Feet
M. Hudson, The Value in Going Out, Risk, Undated
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Extent
60 Linear Feet
F. Jamshidian, Hedging and Evaluating Differential Swaps, 1993-04
box: 3, folder: 52 (Material Type: Text)
Extent
60 Linear Feet
Reiner, Valuation of Average-Dependent Options, Undated
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Extent
60 Linear Feet
D.R. Rich, The Mathematical Foundations of Barrier Option Pricing Theory, Advances in Futures and Options Research, Forthcoming, 1994-01
box: 3, folder: 54 (Material Type: Text)
Extent
60 Linear Feet
D.R. Rich & D.M. Chance, An Alternative Approach to the Pricing of Options on Multiple Assets, Journal of Financial Engineering 2, 1993
box: 3, folder: 55 (Material Type: Text)
Extent
60 Linear Feet
M. Rubinstein & E. Reiner, Breaking Down the Barriers, Risk 4, No. 8, 1991-09
box: 3, folder: 56 (Material Type: Text)
J. Wei, Streams of Consequence, Risk 7, #1, 1994-01
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J.Z. Wei, Valuing Differential Swaps, 1993-01-08
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K.I. Amin, Jump Diffusion Option Valuation in Discrete Time, Journal of Finance Vol. XLVIII, #5, 1993-12
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G. Barone-Adesi & R.E. Whaley, Efficient Analytic Approximation of American Option Values, Journal of Finance Vol. XLII, 1987-06
box: 3, folder: 60 (Material Type: Text)
R. Breen, The Accelerated Binomial Option Pricing Model, Journal of Financial and Quantitative Analysis 26, #2, 1991-06
box: 3, folder: 61 (Material Type: Text)
A. Carverhill & N. Webber, American Options: Theory and Numerical Analysis, 1988-07
box: 3, folder: 62 (Material Type: Text)
M. Chesney, Pricing American Currency Options: An Analytical Approach, Centre HEC ISA, France, Undated
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N.J. Cutland & E. Kopp, From Discrete to Continuous Financial Models: New Convergence Results for Option Pricing, Mathematical Finance 3, #2, 101-123, 1993-04
box: 3, folder: 64 (Material Type: Text)
R. Geske & H.E. Johnson, The American Put Option Valued Analytically, Journal of Finance Vol. XXXIX, #5, 1984-12
box: 3, folder: 65 (Material Type: Text)
L.W. MacMillan, Analytic Approximation for the American Put Option, Advances in Futures and Options Research. Vol. 1, Part A, 119-139, 1986
box: 3, folder: 66 (Material Type: Text)
R.C. Merton, M.J. Brennan & E.S. Schwartz, The Valuation of American Put Options, Journal of Finance Vol. XXXII, #2, 1977-05
box: 3, folder: 67 (Material Type: Text)
E. Omberg, The Valuation of American Put Options with Exponential Exercise Policies, Advances in Futures and Options Research Vol 2: 117-142, 1987
box: 3, folder: 68 (Material Type: Text)
M.G. Subrahmanyam & G.G. Yu, Pricing and Hedging American Options: A Unified Method and its Efficient Implementation, 1993-09
box: 3, folder: 69 (Material Type: Text)
The Economics of the Reflection Principle and Girsanov's Theorem, Undated
box: 3, folder: 70 (Material Type: Text)
EPCS - European Put Call Symmetry, 1993-12-1994-05, inclusive
box: 3, folder: 71 (Material Type: Text)
Even Functions, Undated
box: 3, folder: 72 (Material Type: Text)
APCS Resubmit, 1996-11-1997-06, inclusive
box: 3, folder: 73 (Material Type: Text)
Letter from Bjerksund & Stensland, 1998-11-04
box: 3, folder: 74 (Material Type: Text)
Olsen & Stensland, Invariant Controls in Stochastic Allocation Problems, 1991
box: 3, folder: 75 (Material Type: Text)
Bjerksund & Stensland, American Exchange Options and a Put-Call Transformation: A Note, Journal of Business Finance and Accounting, 1993-09
box: 3, folder: 76 (Material Type: Text)
Bjerksund & Stensland, Closed-Form Approximation of American Options, Scandinavian Journal of Management, 1993
box: 3, folder: 77 (Material Type: Text)
Continuous Random Variable and Notes, Undated
box: 3, folder: 78 (Material Type: Text)
AMEX Letter, 1993-09-22-1993-12-16, inclusive
box: 3, folder: 79 (Material Type: Text)
American Put-Cdn Call Symmetry, Undated
box: 3, folder: 80 (Material Type: Text)
Margrabe's Web Site, 1999-08-03
box: 3, folder: 81 (Material Type: Text)
APC Pres, Undated
box: 3, folder: 82 (Material Type: Text)
APCS in Same Economy, Undated
box: 3, folder: 83 (Material Type: Text)
Barrier Option Typeups, Undated
box: 3, folder: 84 (Material Type: Text)
Chesney Rewrite, Undated
box: 3, folder: 85 (Material Type: Text)
Green's Function & PCS, Undated
box: 3, folder: 86 (Material Type: Text)
Hedging ITM UIC's with using PCS UIP's, Undated
box: 3, folder: 87 (Material Type: Text)
FX Options, Undated
box: 3, folder: 88 (Material Type: Text)
Installment Options, 1993-08-1993-10, inclusive
box: 3, folder: 89 (Material Type: Text)
Installment Stoptions (on Spot), Undated
box: 3, folder: 90 (Material Type: Text)
Installment Options, 1993-08-03
box: 3, folder: 91 (Material Type: Text)
(Installment) (St)options on Forward, Undated
box: 3, folder: 92 (Material Type: Text)
Journal Submission, 1995-07-26-1997-05-13, inclusive
box: 3, folder: 93 (Material Type: Text)
Linear Homogeneity, Undated
box: 3, folder: 94 (Material Type: Text)
Lookbacks, Undated
box: 3, folder: 95 (Material Type: Text)
