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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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The valuation of compound options : a correction and an extension
Chen, Ren-Raw; He, Wei - In: The journal of derivatives : the official publication … 22 (2015) 4, pp. 92-104
Persistent link: https://www.econbiz.de/10011399781
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European compound options written on perpetual American options
Barone, Gaia - In: The journal of derivatives : the official publication … 20 (2012) 3, pp. 61-74
Persistent link: https://www.econbiz.de/10009725348
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On implied volatility for options : some reasons to smile and more to correct
Chen, Song Xi; Xu, Zheng - In: Journal of econometrics 179 (2014) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10010258291
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Hermite polynomial based expansion of European option prices
Xiu, Dacheng - In: Journal of econometrics 179 (2014) 2, pp. 158-177
Persistent link: https://www.econbiz.de/10010372651
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Pricing external barrier options in a regime-switching model
Kim, Jerim; Kim, Jeongsim; Yoo, Hyun Joo; Kim, Bara - In: Journal of economic dynamics & control 53 (2015), pp. 123-143
Persistent link: https://www.econbiz.de/10011526900
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An inverse finite element method for pricing American options
Zhu, Song-ping; Chen, Wen-ting - In: Journal of economic dynamics & control 37 (2013) 1, pp. 231-250
Persistent link: https://www.econbiz.de/10009703598
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Learning, confidence, and option prices
Shaliastovich, Ivan - In: Journal of econometrics 187 (2015) 1, pp. 18-42
Persistent link: https://www.econbiz.de/10011498730
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Option prices under Bayesian learning : implied volatility dynamics and predictive densities
Guidolin, Massimo; Timmermann, Allan - In: Journal of economic dynamics & control 27 (2003) 5, pp. 717-769
Persistent link: https://www.econbiz.de/10001719690
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The forward valuation of compound options
Buraschi, Andrea; Dumas, Bernard - In: The journal of derivatives : the official publication … 9 (2001) 1, pp. 8-17
Persistent link: https://www.econbiz.de/10001618892