Search Results - subject:"American Put Option"

The American put with finite-time maturity and stochastic interest rate

Cai, Cheng; De Angelis, Tiziano; Palczewski, Jan - In: Mathematical finance : an international journal of … 32 (2022) 4, pp. 1170-1213

Persistent link: https://www.econbiz.de/10013463400

A quasi-closed-form solution for the valuation of American put options

Viegas, Christina; Azevedo-Pereira, José - In: International Journal of Financial Studies 8 (2020) 4, pp. 1-10

This study develops a quasi-closed-form solution for the valuation of an American put option and the critical price of … an explicit formula of the finite-maturity American put option. The results obtained, besides allowing us to quickly …

Persistent link: https://www.econbiz.de/10013200309

A quasi-closed-form solution for the valuation of American put options

Viegas, Christina; Azevedo-Pereira, José - In: International Journal of Financial Studies : open … 8 (2020) 4/62, pp. 1-10

Persistent link: https://www.econbiz.de/10012321096

Risk-averse stochastic programming : time consistency and optimal stopping

Pichler, Alois; Liu, Rui Peng; Shapiro, Alexander - In: Operations research 70 (2022) 4, pp. 2439-2455

Persistent link: https://www.econbiz.de/10013366477

Closed form optimal exercise boundary of the American put option

Kitapbayev, Yerkin - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10012650204

Double barrier American put option pricing under uncertain volatility model

Zaineb, El Kharrazi; Sahar, Saoud; Zouhir, Mahani - In: International journal of financial engineering 8 (2021) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10012662317

Callable barrier reverse convertible securities

Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Quantitative finance 21 (2021) 9, pp. 1519-1532

Persistent link: https://www.econbiz.de/10012624152

Optimal time to enter a retirement village

Zhang, Jinhui; Purcal, Sachi; Wei, Jiaqin - In: Risks 5 (2017) 1, pp. 1-20

of an American put option at the uncertain stopping time. From our numerical results, active insurance and annuity …

Persistent link: https://www.econbiz.de/10011709578

Optimal time to enter a retirement village

Zhang, Jinhui; Purcal, T. Sachi; Wei, Jiaqin - In: Risks : open access journal 5 (2017) 1, pp. 1-20

of an American put option at the uncertain stopping time. From our numerical results, active insurance and annuity …

Persistent link: https://www.econbiz.de/10011636236

On bank's risk incentives under deposit insurance system

Seta, Hiroki; Inoue, Hiroshi - In: International journal of financial engineering 6 (2019) 4, pp. 1-40

Persistent link: https://www.econbiz.de/10012314542