An early-exercise-probability perspective of American put options in the low-interest-rate era
Year of publication: |
December 2015
|
---|---|
Authors: | Miao, Daniel Wei-Chung ; Lee, Yung-Hsin ; Chao, Wan-Ling |
Published in: |
The journal of futures markets. - Hoboken, NJ : Wiley-Blackwell, ISSN 0270-7314, ZDB-ID 395139-X. - Vol. 35.2015, 12, p. 1154-1172
|
Subject: | Niedrigzinspolitik | Low-interest-rate policy | Optionsgeschäft | Option trading | Zins | Interest rate | Kapitalmarktrendite | Capital market returns | Schätzung | Estimation | Optionspreistheorie | Option pricing theory | USA | United States | 2011-2013 |
-
Negative Interest Rates Effects on Option Pricing : Back to Basics?
Burro, Giacomo, (2017)
-
Negative interest rates effects on option pricing : back to basics?
Burro, Giacomo, (2017)
-
The effect of option-implied skewness on delta- and vega-hedged option returns
Borochin, Paul, (2021)
- More ...
-
A forward Monte Carlo method for American options pricing
Miao, Daniel Wei-chung, (2013)
-
Option pricing under jump-diffusion models with mean-reverting bivariate jumps
Miao, Daniel Wei-chung, (2014)
-
Computational analysis of a Markovian queueing system with geometric mean-reverting arrival process
Miao, Daniel Wei-Chung, (2016)
- More ...