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The early exercise premium in American options by using nonparametric regressions

Li, Weiping; Chen, Su - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-29

Persistent link: https://www.econbiz.de/10011956935

Bermuda-Put-Optionen nach Geske und Johnson : Konvergenzanalyse und Zusammenhang mit amerikanischen Put-Optionen

Boldin, Denis - 2013

Der Idee von Geske und Johnson folgend wird der Preis einer amerikanischen Put-Option durch den Preis einer n-Bermuda-Put-Option approximiert. Die Problematik der Berechnung von der in der analytischen Bewertungsformeln von Geske und Johnson auftretenden multidimensionalen...

Persistent link: https://www.econbiz.de/10010242369

Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model

Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl - In: Quantitative finance 20 (2020) 9, pp. 1457-1473

Persistent link: https://www.econbiz.de/10012295614

Fast and accurate calculation of American option prices

Ballestra, Luca Vincenzo - In: Decisions in economics and finance : DEF ; a journal of … 41 (2018) 2, pp. 399-426

Persistent link: https://www.econbiz.de/10011997949

Event count distributions from renewal processes : fast computation of probabilities

Baker, Rose; Kharrat, Tarak - In: IMA journal of management mathematics 29 (2018) 4, pp. 415-433

Persistent link: https://www.econbiz.de/10011974903

Using Richardson extrapolation techniques to price American options with alternative stochastic processes

Chang, Chuang-chang; Lin, Jun-biao; Tsai, Wei-che; … - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 383-406

Persistent link: https://www.econbiz.de/10009673702

Enhancing finite difference approximations for double barrier options : mesh optimization and repeated Richardson extrapolation

Ballestra, Luca Vincenzo - In: Computational management science 18 (2021) 2, pp. 239-263

Persistent link: https://www.econbiz.de/10012543403

Numerical smoothing with hierarchical adaptive sparse grids and quasi-Monte Carlo methods for efficient option pricing

Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl - In: Quantitative finance 23 (2023) 2, pp. 209-227

Persistent link: https://www.econbiz.de/10014232621

A novel Romberg integration method for neutrosophic valued functions

Moi, Sandip; Biswas, Suvankar; Sarkar, Smita Pal - In: Decision analytics journal 9 (2023), pp. 1-11

This study proposes a numerical integration technique to determine the approximate integral of the neutrosophic valued function. Newton Cot's method with a positive coefficient has been used for neutrosophic integration, and then the suggested technique is used to find the approximate value of...

Persistent link: https://www.econbiz.de/10014532559

CTMC integral equation method for American options under stochastic local volatility models

Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - In: Journal of economic dynamics & control 128 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012628259