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On pricing options with stressed-beta in a reduced form model
Kim, Geonwoo; Lim, Hyuncheul; Lee, Sungchul - In: Review of derivatives research 18 (2015) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10011414105
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Robust barrier option pricing by frame projection under exponential Lévy dynamics
Kirkby, J. Lars - In: Applied mathematical finance 24 (2017) 3/4, pp. 337-386
Persistent link: https://www.econbiz.de/10011815237
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Real options and American derivatives : the double continuation region
Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro - In: Management science : journal of the Institute for … 61 (2015) 5, pp. 1094-1107
Persistent link: https://www.econbiz.de/10011284877
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Option pricing : very simple formulas
Alghalith, Moawia - In: Journal of derivatives & hedge funds 20 (2014) 2, pp. 71-73
Persistent link: https://www.econbiz.de/10010463001
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The value of being lucky : option backdating and nondiversifiable risk
Henderson, Vicky; Sun, Jia; Whalley, A. Elizabeth - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10012652678
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Optimal exercise of American put options near maturity : a new economic perspective
Battauz, Anna; De Donno, Marzia; Gajda, Janusz; Sbuelz, … - In: Review of derivatives research 25 (2022) 1, pp. 23-46
Persistent link: https://www.econbiz.de/10013191376
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American options on high dividend securities : a numerical investigation
Rotondi, Francesco - In: Risks : open access journal 7 (2019) 2/59, pp. 1-20
I document a sizeable bias that might arise when valuing out of the money American options via the Least Square Method proposed by Longstaff and Schwartz (2001). The key point of this algorithm is the regression-based estimate of the continuation value of an American option. If this regression...
Persistent link: https://www.econbiz.de/10012019000
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The volatility target effect in investment-linked products with embedded American-type derivatives
Albeverio, Sergio; Steblovskaya, Victoria; Wallbaum, Kai - In: Investment management and financial innovations 16 (2019) 3, pp. 18-28
Persistent link: https://www.econbiz.de/10012159339
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Real options and American derivatives : the double continuation region
Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro - 2013 - This version: July, 2013
Persistent link: https://www.econbiz.de/10011817721
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The valuation of option contracts subject to counterparty risk
Sturn, Raphael Christian Benedikt - 2019
Persistent link: https://www.econbiz.de/10012173134