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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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The implication of missing the optimal-exercise time of an American option
Chockalingam, Arun; Feng, Haolin - In: European journal of operational research : EJOR 243 (2015) 3, pp. 883-896
Persistent link: https://www.econbiz.de/10010513833
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American step options
Detemple, Jérôme B.; Laminou Abdou, Souleymane; … - In: European journal of operational research : EJOR 282 (2020) 1, pp. 363-385
Persistent link: https://www.econbiz.de/10012157702
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An improved least squares Monte Carlo valuation method based on heteroscedasticity
Fabozzi, Frank J.; Paletta, Tommaso; Tunaru, Radu - In: European journal of operational research : EJOR 263 (2017) 2, pp. 698-706
Persistent link: https://www.econbiz.de/10011794017
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Recovering risk-neutral probability density functions from options prices using cubic splines and ensuring nonnegativity
Monteiro, Ana Margarida; Tütüncü, Reha H.; Vicente, … - In: European journal of operational research : EJOR 187 (2008) 2, pp. 525-542
Persistent link: https://www.econbiz.de/10003769344
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Third-order extensions of Lo's semiparametric bound for European call options
Zuluaga, Luis F.; Peña, Javier; Du, Donglei - In: European journal of operational research : EJOR 198 (2009) 2, pp. 557-570
Persistent link: https://www.econbiz.de/10003852612
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The pricing and optimal strategies of callable warrants
Yagi, Kyoko; Sawaki, Katsushige - In: European journal of operational research : EJOR 206 (2010) 1, pp. 123-130
Persistent link: https://www.econbiz.de/10003968462
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A simple model of deferred callability in defaultable debt
Mjøs, Aksel; Persson, Svein-Arne - In: European journal of operational research : EJOR 207 (2010) 3, pp. 1350-1357
Persistent link: https://www.econbiz.de/10008702254
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Computing arbitrage upper bounds on basket options in the presence of bid-ask spreads
Peña, Javier; Vera, Juan C.; Zuluaga, Luis F. - In: European journal of operational research : EJOR 222 (2012) 2, pp. 369-376
Persistent link: https://www.econbiz.de/10009570402
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Multistage optimization of option portfolio using higher order coherent risk measures
Matmoura, Yassine; Penev, Spiridon - In: European journal of operational research : EJOR 227 (2013) 1, pp. 190-198
Persistent link: https://www.econbiz.de/10009723389