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On pricing options with stressed-beta in a reduced form model
Kim, Geonwoo; Lim, Hyuncheul; Lee, Sungchul - In: Review of derivatives research 18 (2015) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10011414105
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An improved method for pricing and hedging long dated American options
Fabozzi, Frank J.; Paletta, Tommaso; Stanescu, Silvia; … - In: European journal of operational research : EJOR 254 (2016) 2, pp. 656-666
Persistent link: https://www.econbiz.de/10011509024
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Efficient conservative second-order central-upwind schemes for option-pricing problems
Bhatoo, Omishwary; Peer, Arshad Ahmud Iqbal; Tadmor, Eitan - In: The journal of computational finance 22 (2018/2019) 5, pp. 71-101
Persistent link: https://www.econbiz.de/10012042237
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Path-dependent American options
Chevalier, Etienne; Ly Vath, Vathana; Mnif, Mohamed - In: The journal of computational finance 23 (2019) 1, pp. 61-95
Persistent link: https://www.econbiz.de/10012064988
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How does statutory redemption affect a buyer's decision at the foreclosure sale?
Jou, Jyh-Bang; Lee, Tan - In: International review of economics & finance : IREF 45 (2016), pp. 263-272
Persistent link: https://www.econbiz.de/10011626362
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High-performance American option pricing
Andersen, Leif B. G.; Lake, Mark; Offengenden, Dimitri - In: The journal of computational finance 20 (2016) 1, pp. 39-87
Persistent link: https://www.econbiz.de/10011639531
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Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model
Leippold, Markus; Vasiljević, Nikola - 2015
We analyze American put options in a hyper-exponential jump-diffusion model. Our contribution is threefold. Firstly, by following a maturity randomization approach, we solve the partial integro-differential equation and obtain a tight lower bound for the American option price. Secondly, our...
Persistent link: https://www.econbiz.de/10011293508
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The volatility target effect in investment-linked products with embedded American-type derivatives
Albeverio, Sergio; Steblovskaya, Victoria; Wallbaum, Kai - In: Investment management and financial innovations 16 (2019) 3, pp. 18-28
Persistent link: https://www.econbiz.de/10012159339
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American options and incomplete information
Ekström, Erik; Vannestål, Martin - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-14
Persistent link: https://www.econbiz.de/10012153092
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The effects of negative nominal rates on the pricing of American calls : some theoretical and numerical insights
Cafferata, Alessia; Giribone, Pier Giuseppe; Resta, Marina - In: Modern economy 8 (2017) 7, pp. 878-887
Persistent link: https://www.econbiz.de/10011747766