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~subject:"Early exercise"
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Early exercise
Optionspreistheorie
40
Option pricing theory
39
Option trading
27
Optionsgeschäft
27
Stochastischer Prozess
13
early exercise
13
Early Exercise
12
Stochastic process
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American Option
10
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Early exercise boundary
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Volatilität
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Finite Difference Approach
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Method of Lines
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Numerical Methods
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early exercise premium
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Derivat
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Aktienoption
7
Early exercise premium
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Stock option
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American option pricing
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10
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Tang, Robert
4
Beveridge, Christopher
2
Dorfleitner, Gregor
2
Gerer, Johannes
2
Joshi, Mark
2
Joshi, Mark S.
2
Chen, Shu-Chuan
1
Chen, Shu-chuan
1
Eickholt, Mathias
1
Entrop, Oliver
1
Fusai, Gianluca
1
Gambaro, Anna Maria
1
KOZIOL, CHRISTIAN
1
Klein, Daniel
1
Kyriakou, Ioannis
1
Lin, Chung-Gee
1
Lin, Chung-gee
1
Lin, Xenos Chang-Shuo
1
Miao, Daniel Wei-Chung
1
Sun, Lei
1
Widdicks, Martin
1
Wilkens, Marco
1
Yang, Wei-Ning
1
Yang, Wei-ning
1
Yu, Steve Hsin-Ting
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Journal of Economic Dynamics and Control
2
Journal of economic dynamics & control
2
Review of derivatives research
2
The journal of corporate finance : contracting, governance and organization
2
Economic Modelling
1
Economic modelling
1
European journal of operational research : EJOR
1
International Journal of Theoretical and Applied Finance (IJTAF)
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Journal of banking & finance
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ECONIS (ZBW)
10
RePEc
4
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1
General lattice methods for arithmetic Asian options
Gambaro, Anna Maria
;
Kyriakou, Ioannis
;
Fusai, Gianluca
- In:
European journal of operational research : EJOR
282
(
2020
)
3
,
pp. 1185-1199
Persistent link: https://www.econbiz.de/10012161893
Saved in:
2
Time consistent pricing of options with embedded decisions
Dorfleitner, Gregor
;
Gerer, Johannes
- In:
Review of derivatives research
23
(
2020
)
1
,
pp. 85-119
Persistent link: https://www.econbiz.de/10012229784
Saved in:
3
A note on the never-
early-exercise
region of American power exchange options
Miao, Daniel Wei-Chung
;
Lin, Xenos Chang-Shuo
;
Yu, …
- In:
Operations research letters
44
(
2016
)
1
,
pp. 129-135
Persistent link: https://www.econbiz.de/10011455592
Saved in:
4
Executive turnover and the valuation of stock options
Klein, Daniel
- In:
The journal of corporate finance : contracting, …
48
(
2018
),
pp. 76-93
Persistent link: https://www.econbiz.de/10011805922
Saved in:
5
What makes individual investors exercise early? : empirical evidence from non-tradable fixed-income products
Eickholt, Mathias
;
Entrop, Oliver
;
Wilkens, Marco
- In:
Journal of banking & finance
97
(
2018
),
pp. 318-334
Persistent link: https://www.econbiz.de/10011968755
Saved in:
6
Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions
Gerer, Johannes
;
Dorfleitner, Gregor
- In:
Review of derivatives research
21
(
2018
)
2
,
pp. 175-199
Persistent link: https://www.econbiz.de/10012055737
Saved in:
7
Why do employees like to be paid with options? : a multi-period prospect theory approach
Sun, Lei
;
Widdicks, Martin
- In:
The journal of corporate finance : contracting, …
38
(
2016
),
pp. 106-125
Persistent link: https://www.econbiz.de/10011508852
Saved in:
8
Analyses of retirement benefits with options
Lin, Chung-Gee
;
Yang, Wei-Ning
;
Chen, Shu-Chuan
- In:
Economic Modelling
36
(
2014
)
C
,
pp. 130-135
retirement benefits that feature the properties of multiple variables,
early
exercise
, stochastic interest rates, and several …
Persistent link: https://www.econbiz.de/10010729822
Saved in:
9
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark
;
Tang, Robert
- In:
Journal of Economic Dynamics and Control
40
(
2014
)
C
,
pp. 25-45
We present a new non-nested approach for computing additive upper bounds for callable derivatives using Monte Carlo simulation. It relies on the regression of Greeks computed using adjoint methods. We also show that it is possible to early terminate paths once points of optimal exercise have...
Persistent link: https://www.econbiz.de/10010744190
Saved in:
10
Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.
;
Tang, Robert
- In:
Journal of economic dynamics & control
40
(
2014
),
pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
Saved in:
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