Similar Search Results

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

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

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

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

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

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