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  • Search: subject:"early exercise"
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Year of publication
Subject
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Optionspreistheorie 41 Option pricing theory 40 Option trading 28 Optionsgeschäft 28 Early exercise 14 Stochastischer Prozess 13 early exercise 13 Early Exercise 12 Stochastic process 12 American options 11 Early exercise boundary 11 American Option 10 Volatility 10 Volatilität 10 American option 9 Finite Difference Approach 9 Integral Transform Approach 9 Method of Lines 9 Numerical Methods 9 early exercise premium 9 Derivat 8 Derivative 8 Monte Carlo 8 Aktienoption 7 Early exercise premium 7 Stock option 7 Hedging 6 American option pricing 5 Monte Carlo simulation 5 Black-Scholes model 4 Black-Scholes-Modell 4 Experiment 4 Heston model 4 J-formula 4 J-law 4 J-process 4 LIBOR market model 4 Monte-Carlo-Simulation 4 Stochastic volatility 4 Stochastic volatility model 4
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Online availability
All
Undetermined 49 Free 18
Type of publication
All
Article 64 Book / Working Paper 15
Type of publication (narrower categories)
All
Article in journal 39 Aufsatz in Zeitschrift 39 Working Paper 4 Article 3 Hochschulschrift 3 Thesis 3 Arbeitspapier 2 Collection of articles of several authors 2 Graue Literatur 2 Non-commercial literature 2 Sammelwerk 2 Collection of articles written by one author 1 Sammlung 1
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Language
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English 51 Undetermined 27 German 2
Author
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Chiarella, Carl 9 Kang, Boda 9 Meyer, Gunter H. 8 Eickholt, Mathias 5 Entrop, Oliver 5 Wilkens, Marco 5 Tang, Robert 4 Chan, Tat Lung 3 Detemple, Jérôme B. 3 Dias, José Carlos 3 Dorfleitner, Gregor 3 Gerer, Johannes 3 Joshi, Mark S. 3 Bernard, Carole 2 Beveridge, Christopher 2 Goldenberg, David H. 2 Iftikhar, Khurram 2 Iftikhar, Syed Faizan 2 Jerbi, Yacin 2 Joshi, Mark 2 Kashif, Muhammad 2 Kitapbayev, Yerkin 2 Leippold, Markus 2 Ruas, João Pedro 2 Tzavalis, Elias 2 Vasiljević, Nikola 2 Wang, Shijun 2 Abdou, Souleymane Laminou 1 Alvarez-Diez, Susana 1 Armada, Manuel José da Rocha 1 Aschakulporn, Pakorn 1 Baixauli-Soler, J. Samuel 1 Belda-Ruiz, Maria 1 Boldin, Denis 1 Bottasso, Anna 1 Boyle, Phelim 1 Boyle, Phelim P. 1 Bruno, Lorenzo 1 Chen, Shu-Chuan 1 Chen, Shu-chuan 1
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Institution
All
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 2 EconWPA 2 Fakultät für Wirtschaftswissenschaften, Universität Passau 1 School of Economics and Finance, Queen Mary 1 World Scientific Publishing Co. Pte. Ltd. 1
Published in...
All
The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches 8 Journal of banking & finance 4 Journal of economic dynamics & control 4 Review of derivatives research 3 The journal of futures markets 3 CIRANO Working Papers 2 Finance 2 Financial Innovation 2 Financial innovation : FIN 2 International Journal of Financial Markets and Derivatives 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 International journal of financial engineering 2 International journal of theoretical and applied finance 2 Journal of Economic Dynamics and Control 2 Management Science 2 Quantitative finance 2 The European journal of finance 2 The journal of corporate finance : contracting, governance and organization 2 Annals of economics and finance 1 Applied Mathematical Finance 1 Asia-Pacific financial markets 1 Computational Management Science 1 Computational economics 1 Economic Modelling 1 Economic modelling 1 European journal of operational research : EJOR 1 Journal of Banking & Finance 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 Multinational Finance Journal 1 Operations research letters 1 Passauer Diskussionspapiere 1 Passauer Diskussionspapiere - Betriebswirtschaftliche Reihe 1 Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 1 Research paper series / Swiss Finance Institute 1 Risk management magazine 1 Risks 1 Risks : open access journal 1 Swiss Finance Institute Research Paper 1 The European Journal of Finance 1 The North American journal of economics and finance : a journal of financial economics studies 1
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Source
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ECONIS (ZBW) 44 RePEc 29 EconStor 5 BASE 1
Showing 21 - 30 of 79
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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
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Essays on derivatives pricing in incomplete markets
Gerer, Johannes - 2016
Persistent link: https://www.econbiz.de/10012128861
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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
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Pricing and exercising American options : an asymptotic expansion approach
Li, Chenxu; Ye, Yongxin - In: Journal of economic dynamics & control 107 (2019), pp. 1-32
Persistent link: https://www.econbiz.de/10012312643
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Swing option pricing by dynamic programming with B-spline density projection
Kirkby, J. Lars; Deng, Shijie - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-53
Persistent link: https://www.econbiz.de/10012183215
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What makes individual investors exercise early? Empirical evidence from the fixed-income market
Eickholt, Mathias; Entrop, Oliver; Wilkens, Marco - 2014
This paper studies the empirical early exercise behavior of Individual Investors in non-tradable putable bonds … findings are: (i) Individual Investors use their early exercise right predominantly at points in time that are not economically …
Persistent link: https://www.econbiz.de/10010421082
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Three essays on individual investors' early exercise behavior in the fixed-income market
Eickholt, Mathias - 2014
Diese Arbeit untersucht, wie Privatinvestoren vorzeitige Kündigungsrechte in strukturierten Zinsprodukten nutzen. Als Grundlage für die Analyse dient hierbei ein neuartiger, nicht öffentlich verfügbarer Datensatz, der über einen Zeitraum von circa 13 Jahren Entscheidungen von mehr als...
Persistent link: https://www.econbiz.de/10010526654
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Cover Image
What makes individual investors exercise early? : empirical evidence from the fixed-income market
Eickholt, Mathias; Entrop, Oliver; Wilkens, Marco - 2014
This paper studies the empirical early exercise behavior of Individual Investors in non-tradable putable bonds … findings are: (i) Individual Investors use their early exercise right predominantly at points in time that are not economically …
Persistent link: https://www.econbiz.de/10010412100
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Cover Image
What makes individual investors exercise early? Empirical evidence from the fixed-income market
Eickholt, Mathias; Entrop, Oliver; Wilkens, Marco - Fakultät für Wirtschaftswissenschaften, Universität … - 2014
This paper studies the empirical early exercise behavior of Individual Investors in non-tradable putable bonds … findings are: (i) Individual Investors use their early exercise right predominantly at points in time that are not economically …
Persistent link: https://www.econbiz.de/10010960469
Saved in:
Cover Image
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
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