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A dynamic program under Lévy processes for valuing corporate securities

Ben-Ameur, Hatem; Chérif, Rim; Rémillard, Bruno N. - In: Journal of risk : JOR 25 (2023) 4, pp. 61-81

Persistent link: https://www.econbiz.de/10014487107

Dynamic programming for valuing options embedded in corporate bonds

Ben-Abdellatif, Malek; Ben-Ameur, Hatem; Chérif, Rim; … - 2023

Persistent link: https://www.econbiz.de/10014443102

Pathwise dynamic programming

Bender, Christian; Gärtner, Christian; Schweizer, Nikolaus - In: Mathematics of operations research 43 (2018) 3, pp. 965-995

Persistent link: https://www.econbiz.de/10011914390

Optimal management of DC pension plan in stochastic interest rate and stochastic volatility framework

Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 57 (2014), pp. 58-66

Persistent link: https://www.econbiz.de/10010402734

A dynamic program for valuing corporate securities

Ayadi, Mohamed; Ben-Ameur, Hatem; Fakhfakh, Tarek - In: European journal of operational research : EJOR 249 (2016) 2, pp. 751-770

Persistent link: https://www.econbiz.de/10011436876

American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach

Chen, Nan; Liu, Yanchu - In: Operations research 62 (2014) 3, pp. 616-632

Persistent link: https://www.econbiz.de/10010381847

Forest of stochastic trees: a method for valuing multiple exercise options

Reesor, R. Mark; Marshall, T. James - In: Journal of risk and financial management : JRFM 13 (2020) 5/95, pp. 1-31

We present the Forest of Stochastic Trees (FOST) method for pricing multiple exercise options by simulation. The proposed method uses stochastic trees in place of binomial trees in the Forest of Trees algorithm originally proposed to value swing options, hence extending that method to allow for...

Persistent link: https://www.econbiz.de/10012304872