In this article we propose several pathwise and finite difference basedmethods for calculating sensitivities of Bermudan options using regressionmethods and Monte Carlo simulation. These methods rely on conditionalprobabilistic representations which allow, in combination with aregression...

Here we develop an approach for efficient pricing discrete-time American and Bermudan options which employs the fact that such options are equivalent to theEuropean ones with a consumption, combined with analysis of the market model over a small number of steps ahead. This approach allows...

The calibration of financial models has become rather important topic in recent years mainly because of the need to price increasingly complex options in a consistent way. The choice of the underlying model is crucial for the good performance of any calibration procedure. Recent empirical...

We investigate the problem of calibrating an exponential Lévy model based on market prices of vanilla options. We show that this inverse problem is in general severely ill-posed and we derive exact minimax rates of convergence. The estimation procedure we propose is based on the explicit...

... Der vorliegende Beitrag vermittelt Grundzüge der Realoptionsbewertung und zeigt, worin diese sich von der Kapitalwertmethode unterscheidet bzw. welche Zusammenhänge zwischen den beiden Vorgehensweisen bestehen ...

Optionen auf festverzinsliche Wertpapiere (kurz: Rentenoptionen) werden seit1982 in den USA und seit 1990 auch an der Deutschen Terminbörse in Frankfurtgehandelt. In der Literatur hat man sich stets mehr mit Aktienoptionenauseinandergesetzt, während die besondere Problematik von...

Executive Stock Option Programs (SOPs) have become the dominant compensation instrument for top-management in recent years. The incentive effects of an SOP both with respect to corporate investment and financing decisions critically depend on the design of the SOP. A specific problem in...

A computational economics model of managerial compensation is presented. Risk-averse managers are simulated, and shown to adopt more risk-taking under the influence of stock options. It is also shown that stock options can both help a new entrant compete in an established market; and can help...