Adaptive mesh relocation refinement on Kim's method : enhanced approximations and upper bounds for American options
Year of publication: |
2017
|
---|---|
Authors: | Zeller, Thomas L. ; Bozoudis, Michail |
Published in: |
International journal of bonds and derivatives. - Olney : Inderscience, ISSN 2050-2281, ZDB-ID 2765392-4. - Vol. 3.2017, 4, p. 335-364
|
Subject: | adaptive mesh refinement | American option | capped call | Kim's method | non-uniform time discretisation | optimal exercise boundary | RMSRE | upper bound | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
-
Analytical pricing of American options
Cheng, Jun, (2012)
-
Pricing multidimensional American options
Algiardi, Elettra, (2023)
-
Pricing and hedging American-style options with deep learning
Becker, Sebastian, (2020)
- More ...
-
Have changes in business practices and reporting standards changed the taxonomy of financial ratios?
Zeller, Thomas L., (2016)
-
A changed taxonomy of retail financial ratios
Zeller, Thomas L., (2017)
-
Do IFRS-based and U.S. GAAP-based ratios render equivalent information?
Zeller, Thomas L., (2020)
- More ...