Similar Search Results

Curtailing the range for lattice and grid methods

Andricopoulos, Ari D.; Widdick, Martin; Duck, Peter W.; … - In: The journal of derivatives : the official publication … 11 (2004) 4, pp. 55-61

Persistent link: https://www.econbiz.de/10002108943

Enhancing the accuracy of pricing American and Bermudan options

Duck, Peter W.; Newton, David P.; Widdicks, Martin; … - In: The journal of derivatives : the official publication … 12 (2004) 4, pp. 34-44

Persistent link: https://www.econbiz.de/10003010747

Enhancing the Accuracy of Pricing American and Bermudan Options

Duck, Peter W.; Newton, David P.; Widdicks, Martin; … - In: The journal of derivatives : the official publication … 12 (2005) 4, pp. 34-44

Persistent link: https://www.econbiz.de/10005921778

Curtailing the Range for Lattice and Grid Methods

Andricopoulos, Ari D.; Widdicks, Martin; Duck, Peter W.; … - In: The journal of derivatives : the official publication … 11 (2004) 4, pp. 55-61

Persistent link: https://www.econbiz.de/10005926804

Perpetual Options on Multiple Underlyings

Duck, Peter W.; Evatt, Geoffrey W.; Johnson, Paul V. - In: Applied Mathematical Finance 21 (2014) 2, pp. 174-200

We study three classes of perpetual option with multiple uncertainties and American-style exercise boundaries, using a partial differential equation-based approach. A combination of accurate numerical techniques and asymptotic analyses is implemented, with each approach informing and confirming...

Persistent link: https://www.econbiz.de/10010824918

Coordination and uncertainty in strategic network investment : case on the North Seas Grid

Konstantelos, Ioannis; Moreno, Rodrigo; Strbac, Goran - In: Energy economics 64 (2017), pp. 131-148

Persistent link: https://www.econbiz.de/10011758088