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Robust Pricing of the American Put Option: A Note on Richardson Extrapolation and the Early Exercise Premium
Ibáñez, Alfredo - In: Management science : journal of the Institute for … 49 (2003) 9, pp. 1210-1228
Persistent link: https://www.econbiz.de/10006083326
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Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier
Ibáñez, Alfredo; Zapatero, Fernando - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 2, pp. 253-276
Persistent link: https://www.econbiz.de/10006693323
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The cross-section of average delta-hedge option returns under stochastic volatility
Ibáñez, Alfredo - In: Review of derivatives research 11 (2008) 3, pp. 205-244
Persistent link: https://www.econbiz.de/10008268079
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Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
Ibáñez, Alfredo - In: Mathematical finance : an international journal of … 14 (2004) 2, pp. 223-248
Persistent link: https://www.econbiz.de/10008214818
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Factorization of European and American option prices under complete and incomplete markets
Ibáñez, Alfredo - In: Journal of banking & finance 32 (2008) 2, pp. 311-325
Persistent link: https://www.econbiz.de/10007908339
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When can you immunize a bond portfolio?
Balbás, Alejandro; Ibáñez, Alfredo - In: Journal of banking & finance 22 (1998) 12, pp. 1571-1596
Persistent link: https://www.econbiz.de/10005900788
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The Sensitivity of American Options to Suboptimal Exercise Strategies
Ibáñez, Alfredo; Paraskevopoulos, Ioannis - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 6, pp. 1563-1563
Persistent link: https://www.econbiz.de/10008848152
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Dispersion measures as immunization risk measures
Balbás, Alejandro; Ibáñez, Alfredo; Lopez, Susana - In: Journal of banking & finance 26 (2002) 6, pp. 1229-1244
Persistent link: https://www.econbiz.de/10005890256