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Search: subject:"American put options"
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American put options
12
Option pricing theory
6
Optionspreistheorie
6
Option trading
4
Optionsgeschäft
4
Heston model
2
Integral equation
2
Optimal exercise boundary
2
Perturbation method
2
Volatility
2
Volatilität
2
least-squares Monte Carlo
2
machine learning
2
matched asymptotic expansions
2
neural networks
2
optimal exercise price
2
perpetual American put options
2
singular perturbation
2
the Heston model
2
American Put options
1
American Put options on a Bond
1
American put options with regime switching
1
Binary tree methods
1
Compact finite difference method
1
Computational accuracy and efficiency
1
Exercise boundary
1
Forward interest rates
1
Generalized Brennan-Rubinstein framework
1
Geske and Johnson method
1
HJM model
1
Hedging
1
Hermite interpolation
1
Homotopy-analysis method
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Infinite-dimensional stochastic analysis
1
Laplace
1
Logarithmic transformation
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Musiela’s parametrization
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9
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Zhu, Song-Ping
4
ZHU, SONG-PING
3
Chen, Wenting
2
Gaspar, Raquel M.
2
Goldenberg, David H.
2
Lopes, Sara Dutra
2
Sequeira, Bernardo
2
CHEN, WEN-TING
1
Chang, Chuang-chang
1
Chen, Wen-ting
1
Chiarolla, Maria B.
1
Cui, Zhenyu
1
Dai, Weizhong
1
De Angelis, Tiziano
1
HE, ZHI-WEI
1
He, Xin-Jiang
1
Jourdain, Benjamin
1
Lin, Jun-Biao
1
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1
Liu, Yanchu
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Lu, Xiaoping
1
Nwankwo, Chinonso I.
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Tsay, Min-Hung
1
Zanette, Antonino
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International Journal of Theoretical and Applied Finance (IJTAF)
3
International Journal of Financial Markets and Derivatives
2
Computational economics
1
Decisions in Economics and Finance
1
Finance research letters
1
International journal of theoretical and applied finance
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Journal of risk and financial management : JRFM
1
Quantitative Finance
1
Quantitative finance
1
Risks
1
Risks : open access journal
1
Stochastic Processes and their Applications
1
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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RePEc
8
ECONIS (ZBW)
7
EconStor
2
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1
On the asymptotic behavior of the optimal exercise price near expiry of an American put option under stochastic volatility
Chen, Wenting
;
Zhu, Song-Ping
- In:
Journal of Risk and Financial Management
15
(
2022
)
5
,
pp. 1-19
, this paper addresses the asymptotic behavior of
American
put
options
on a dividend-paying underlying with stochastic …
Persistent link: https://www.econbiz.de/10014332390
Saved in:
2
On the asymptotic behavior of the optimal exercise price near expiry of an American put option under stochastic volatility
Chen, Wenting
;
Zhu, Song-Ping
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
5
,
pp. 1-19
, this paper addresses the asymptotic behavior of
American
put
options
on a dividend-paying underlying with stochastic …
Persistent link: https://www.econbiz.de/10013273116
Saved in:
3
Compact finite difference scheme with hermite interpolation for pricing
American
put
options
based on regime switching model
Nwankwo, Chinonso I.
;
Dai, Weizhong
;
Liu, Rui Hua
- In:
Computational economics
62
(
2023
)
3
,
pp. 817-854
Persistent link: https://www.econbiz.de/10014382839
Saved in:
4
Neural network pricing of
American
put
options
Gaspar, Raquel M.
;
Lopes, Sara Dutra
;
Sequeira, Bernardo
- In:
Risks
8
(
2020
)
3
,
pp. 1-24
In this study, we use Neural Networks (NNs) to price
American
put
options
. We propose two NN models-a simple one and a …
Persistent link: https://www.econbiz.de/10013200606
Saved in:
5
Neural network pricing of
American
put
options
Gaspar, Raquel M.
;
Lopes, Sara Dutra
;
Sequeira, Bernardo
- In:
Risks : open access journal
8
(
2020
)
3/73
,
pp. 1-24
In this study, we use Neural Networks (NNs) to price
American
put
options
. We propose two NN models-a simple one and a …
Persistent link: https://www.econbiz.de/10012293134
Saved in:
6
A generalized Brennan-Rubinstein approach for valuing options with stochastic interest rates
Chang, Chuang-chang
;
Tsay, Min-Hung
;
Lin, Jun-Biao
- In:
The quarterly review of economics and finance : journal …
67
(
2018
),
pp. 92-99
Persistent link: https://www.econbiz.de/10012034430
Saved in:
7
A new integral equation formulation for
American
put
options
Zhu, Song-Ping
;
He, Xin-Jiang
;
Lu, Xiaoping
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 483-490
Persistent link: https://www.econbiz.de/10011906400
Saved in:
8
Integral representation of vega for
American
put
options
Liu, Yanchu
;
Cui, Zhenyu
;
Zhang, Ning
- In:
Finance research letters
19
(
2016
),
pp. 204-208
Persistent link: https://www.econbiz.de/10011657637
Saved in:
9
Analytical pricing of
American
Put
options
on a Zero Coupon Bond in the Heath–Jarrow–Morton model
Chiarolla, Maria B.
;
De Angelis, Tiziano
- In:
Stochastic Processes and their Applications
125
(
2015
)
2
,
pp. 678-707
We study the optimal stopping problem of pricing an American Put option on a Zero Coupon Bond (ZCB) in Musiela’s parametrization of the Heath–Jarrow–Morton (HJM) model for forward interest rates.
Persistent link: https://www.econbiz.de/10011194135
Saved in:
10
Should an American option be exercised earlier or later if volatility is not assumed to be a constant?
Zhu, Song-ping
;
Chen, Wen-ting
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1279-1297
Persistent link: https://www.econbiz.de/10009541996
Saved in:
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