American options on assets with dividends near expiry

By J. Evans, Rachel Kuske, J. Keller. 2002

125 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f9d574111e971d167859a0f717fc61330cc51eaa

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Ari D. Andricopoulos
2. Martin Widdicks
3. David P. Newton
4. Peter W. Duck
5. Daniel Sevcovic

In Finance

1. Ari D. Andricopoulos
2. Martin Widdicks
3. David P. Newton
4. Peter W. Duck
5. Daniel Sevcovic
6. Sam D. Howison

Citations in the corpus

• THE BLACK‐SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS (2005, methodology): “…Whalley and Wilmott (1994a, 1994b, 1997) and Hoggard, Whalley, and Wilmott (1994), and, more relevant to the work in this paper, by Kuske and Keller (1998), Stamicar, Sevcovic, and Chadam (1999), Chen, Chadam, and Stamicar (2000), Knessl (2001), Sevcovic (2001), and Evans, Kuske, and Keller (2002).”
• Analytical and Numerical Methods for Pricing Financial Derivatives (2011, methodology): “We compared asymptotic formulae by Evans, Kuske and Keller [44], Stamicar, Ševčovič and Chadam [109] and the analytic approximation formula by Zhu [125, 125].”