Reference health
The Impact of Jumps on American Option Pricing: The S&P 100 Options Case.
2 of 59 checkable references need attention · checked 2026-10-12
At the dated check, the references listed below either did not resolve in Crossref or DataCite, or carried a retraction notice. Each one is shown with the registry record that put it there.
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References needing attention
does not resolve to a known work10.2307/2329472
does not resolve to a known work10.2307/2328253
The 57 checked references that resolve
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American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics
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A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors
resolves10.1016/j.camwa.2010.06.040
The evaluation of American options in a stochastic volatility model with jumps: An efficient finite element approach
resolves10.1093/rfs/9.1.69
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
resolves10.1111/j.1540-6261.2007.01241.x
Model Specification and Risk Premia: Evidence from Futures Options
resolves10.3386/w3742
No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
resolves10.1016/s0167-6687(96)00004-2
Valuation of the early-exercise price for options using simulations and nonparametric regression
resolves10.1080/14697688.2011.587828
The representation of American options prices under stochastic volatility and jump-diffusion dynamics
resolves10.1016/j.jbankfin.2017.05.012
Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?
resolves10.1142/s0219024909005270
THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES
resolves10.1080/13504860802221672
American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach
resolves10.1111/j.1540-6261.2004.00666.x
Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices
resolves10.21314/jcf.2001.066
Pricing American options: a comparison of Monte Carlo simulation approaches
resolves10.3905/jpm.2005.500363
Relationships Between Implied Volatility Indexes and Stock Index Returns
resolves10.1093/rfs/6.2.327
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
resolves10.1016/j.jbankfin.2007.12.046
A behavioral explanation for the negative asymmetric return–volatility relation
resolves10.1007/s00211-009-0227-5
Operator splitting methods for pricing American options under stochastic volatility
resolves10.1007/s10957-006-9101-0
Some Variants of the Controlled Random Search Algorithm for Global Optimization
resolves10.1016/j.insmatheco.2017.12.012
Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates
resolves10.1023/A:1021155301176
Option Pricing under Stochastic Interest Rates: An Empirical Investigation
resolves10.1108/jrf-06-2014-0090
Joint pricing of VIX and SPX options with stochastic volatility and jump models
resolves10.1016/j.jedc.2006.04.003
A Monte Carlo approach for the American put under stochastic interest rates
resolves10.1093/rfs/3.4.493
General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns
resolves10.21314/jcf.2002.084
Penalty and front-fixing methods for the numerical solution of American option problems
resolves10.1016/s0304-405x(01)00088-5
The jump-risk premia implicit in options: evidence from an integrated time-series study
resolves10.1007/978-94-015-8330-5_4
A Direct Search Optimization Method That Models the Objective and Constraint Functions by Linear Interpolation
resolves10.1214/09-aoas286
Sequential Monte Carlo pricing of American-style options under stochastic volatility models
resolves10.2139/ssrn.1797962
Pricing American Options in the Heston Model: A Close Look on Incorporating Correlation
resolves10.1016/j.procs.2013.05.279
Iterative Methods for Pricing American Options under the Bates Model
resolves10.1007/s10614-016-9598-8
LSM Algorithm for Pricing American Option Under Heston–Hull–White’s Stochastic Volatility Model
resolves10.1109/9.793723
Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
resolves10.1080/14697680600699811
An exact and explicit solution for the valuation of American put options
The 8 references without a DOI — listed, not checked
no DOI — not checkedref4
no DOI — not checkedStock returns, real activity, inflation, and money
no DOI — not checkedAmerican option pricing under stochastic volatility: an empirical evaluation
no DOI — not checkedref40
no DOI — not checkedThe numerical valuation of options with underlying jumps
no DOI — not checkedA controlled random search procedure for global optimization
no DOI — not checkedref61
no DOI — not checkedA front-fixing finite difference method for the valuation of American options
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