Valuation by simulation of contingent claims with multiple early exercise opportunities
Year of publication: |
2004
|
---|---|
Authors: | Ibáñez, Alfredo |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 14.2004, 2, p. 223-248
|
Subject: | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Rohstoffderivat | Commodity derivative | Theorie | Theory |
-
Optimizing hedging effectiveness of indian agricultural commodity futures : a simulation approach
Mansabdar, Sanjay, (2023)
-
Modeling fund and portfolio risk : a bi-modal approach to analyzing risk in turbulent markets
Karagiannidis, Iordanis, (2015)
-
Fernandes, Mário Correia, (2024)
- More ...
-
European puts, credit protection, and endogenous default
Cruz López, Jorge, (2020)
-
Factorization of European and American option prices under complete and incomplete markets
Ibáñez, Alfredo, (2008)
-
The cross-section of average delta-hedge option returns under stochastic volatility
Ibáñez, Alfredo, (2008)
- More ...