Search Results - subject:"Bermudan options"

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

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

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

A backward dual representation for the quantile hedging of Bermudan options

Bouchard, Bruno; Chassagneux, Jean-François; Bouveret, … - HAL - 2014

Within a Markovian complete financial market, we consider the problem of hedging a Bermudan option with a given probability. Using stochastic target and duality arguments, we derive a backward numerical scheme for the Fenchel transform of the pricing function. This algorithm is similar to the...

Persistent link: https://www.econbiz.de/10010933865

The optimal method for pricing Bermudan options by simulation

Ibáñez, Alfredo; Velasco, Carlos - In: Mathematical finance : an international journal of … 28 (2018) 4, pp. 1143-1180

Persistent link: https://www.econbiz.de/10011969082

Computing credit valuation adjustment for Bermudan options with wrong way risk

Feng, Qian; Oosterlee, Cornelis Willebrordus - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-31

Persistent link: https://www.econbiz.de/10011787454

Efficient pricing of high-dimensional American-style derivatives : a robust regression Monte Carlo method

Jonen, Christian - 2011

Persistent link: https://www.econbiz.de/10010204985

Pricing Bermudan options using regression: Optimal rates of convergence for lower estimates

Belomestny, Denis - 2009

The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive …

Persistent link: https://www.econbiz.de/10010263766

Pricing Bermudan options using regression: optimal rates of convergence for lower estimates

Belomestny, Denis - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive … SFB 649 Discussion Paper 2009-023 Pricing Bermudan options using regression: optimal rates … problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal non …

Persistent link: https://www.econbiz.de/10005784861

Let there be warrants : the case of Greece

Hourvouliades, Nikolas; Chatzistavrou, Chrysostomos - In: International journal of bonds and derivatives 1 (2015) 3, pp. 187-202

Persistent link: https://www.econbiz.de/10011434906