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Search: subject:"Bermudan options"
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Bermudan options
27
Option pricing theory
16
Optionspreistheorie
16
Monte Carlo simulation
11
Monte-Carlo-Simulation
6
LIBOR market model
5
Option trading
5
Optionsgeschäft
5
American and Bermudan options
4
Derivat
4
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4
Monte Carlo
4
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4
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4
Stochastischer Prozess
4
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3
Dynamic programming
3
Callability
2
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2
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2
Dynamische Optimierung
2
Early exercise
2
Expected exposure
2
Finance
2
Financial markets
2
Heston
2
Interest rate derivative
2
Kreditrisiko
2
Market microstructure
2
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2
Optimal stopping times
2
Option pricing
2
Options markets
2
Perpetual Bermudan options
2
Prices
2
Regression methods
2
Stock markets
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Swap
2
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2
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research-article
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Belomestny, Denis
3
Joshi, Mark S.
3
Schoenmakers, John
3
Ben-Ameur, Hatem
2
Feng, Qian
2
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2
Markellos, Raphael N.
2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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International Journal of Theoretical and Applied Finance (IJTAF)
3
International journal of theoretical and applied finance
3
Applied Mathematical Finance
2
European journal of operational research : EJOR
2
Finance and Stochastics
2
Management Science
2
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2
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2
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Decisions in Economics and Finance
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International journal of bonds and derivatives
1
International journal of financial engineering
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Journal of Economic Dynamics and Control
1
Journal of economic dynamics & control
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Review of Derivatives Research
1
Review of derivatives research
1
The North American journal of economics and finance : a journal of financial economics studies
1
The journal of computational finance
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ECONIS (ZBW)
17
RePEc
16
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1
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1
Optimal exercise frontier of
Bermudan
options
by simulation methods
Xie, Dejun
;
Edwards, David A.
;
Wu, Xiaoxia
- In:
International journal of financial engineering
9
(
2022
)
3
,
pp. 2250013-1-2250013-20
Persistent link: https://www.econbiz.de/10013367611
Saved in:
2
Method of lines for valuation and sensitivities of
Bermudan
options
Banerjee, Purba
;
Murthy, Vasudeva
;
Jain, Shashi
- In:
Computational economics
63
(
2024
)
1
,
pp. 245-270
Persistent link: https://www.econbiz.de/10014472099
Saved in:
3
Swap rate à la stock : Bermudan swaptions made easy
Gatarek, Dariusz
;
Jabłecki, Juliusz
- In:
Options - 45 years since the publication of the …
,
(pp. 393-412)
.
2023
Persistent link: https://www.econbiz.de/10014366688
Saved in:
4
Generic improvements to least squares monte carlo methods with applications to optimal stopping problems
Wei, Wei
;
Zhu, Dan
- In:
European journal of operational research : EJOR
298
(
2022
)
3
,
pp. 1132-1144
Persistent link: https://www.econbiz.de/10013206929
Saved in:
5
Quantization-based Bermudan option pricing in the foreign exchange world
Fayolle, Jean-Michel
;
Lemaire, Vincent
;
Montes, Thibaut
; …
- In:
The journal of computational finance
25
(
2021
)
2
,
pp. 87-128
Persistent link: https://www.econbiz.de/10012938894
Saved in:
6
Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model
Tang, Kin Boon
;
Zheng, Wen-Jie
;
Lin, Chao-Yang
;
Lin, …
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012821303
Saved in:
7
Dynamic programming for optimal stopping via pseudo-regression
Bayer, Christian
;
Redmann, Martin
;
Schoenmakers, John
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 29-44
Persistent link: https://www.econbiz.de/10012424631
Saved in:
8
Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities
Phelan, C. E.
;
Marazzina, D.
;
Germano, G.
- In:
Quantitative finance
20
(
2020
)
6
,
pp. 899-918
Persistent link: https://www.econbiz.de/10012262635
Saved in:
9
A general framework for time-changed Markov processes and applications
Cui, Zhenyu
;
Kirkby, J. Lars
;
Nguyen, Duy
- In:
European journal of operational research : EJOR
273
(
2019
)
2
,
pp. 785-800
Persistent link: https://www.econbiz.de/10011987591
Saved in:
10
Dual representation of the cost of designing a portfolio satisfying multiple risk constraints
Bouveret, Géraldine
- In:
Applied mathematical finance
26
(
2019
)
3
,
pp. 222-256
Persistent link: https://www.econbiz.de/10012210285
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