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A Monte Carlo approach for the American put under stochastic interest rates
Lindset, Snorre; Lund, Arne-Christian - In: Journal of economic dynamics & control 31 (2007) 4, pp. 1081-1105
Persistent link: https://www.econbiz.de/10003443353
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Large traders and illiquid options : Hedging vs. manipulation
Kraft, Holger; Kühn, Christoph - In: Journal of economic dynamics & control 35 (2011) 11, pp. 1898-1915
Persistent link: https://www.econbiz.de/10009316466
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It only takes a few moments to hedge options
Barletta, Andrea; Santucci de Magistris, Paolo; Sloth, David - In: Journal of economic dynamics & control 100 (2019), pp. 251-269
Persistent link: https://www.econbiz.de/10012130971
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Minimum return guarantees with fund switching rights : an optimal stopping problem
Mahayni, Antje; Schoenmakers, John - In: Journal of economic dynamics & control 35 (2011) 11, pp. 1880-1897
Persistent link: https://www.econbiz.de/10009316471
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Pricing of path-dependent American options by Monte Carlo simulation
Fujiwara, Hajime; Kijima, Masaaki - In: Journal of economic dynamics & control 31 (2007) 11, pp. 3478-3502
Persistent link: https://www.econbiz.de/10003569563
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The instantaneous return and volatility of a covered call position
Edwards, Craig Steven - In: Applied economics letters 22 (2015) 13/15, pp. 1059-1063
Persistent link: https://www.econbiz.de/10011312207
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Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher; Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 37 (2013) 7, pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
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Non-transferable non-hedgeable executive stock option pricing
Colwell, David B.; Feldman, David; Hu, Wei - In: Journal of economic dynamics & control 53 (2015), pp. 161-191
Persistent link: https://www.econbiz.de/10011526925
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Valuation of stock loans with jump risk
Cai, Ning; Sun, Lihua - In: Journal of economic dynamics & control 40 (2014), pp. 213-241
Persistent link: https://www.econbiz.de/10010424378
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Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 40 (2014), pp. 25-45
Persistent link: https://www.econbiz.de/10010424450