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Compound and exchange options in the affine term structure model

Scaillet, Olivier - In: Applied mathematical finance 3 (1996) 1, pp. 75-92

Persistent link: https://www.econbiz.de/10001209608

Convergence of discrete time option pricing models under stochastic interest rates

Lesne, Jean-Philippe; Prigent, Jean-Luc; Scaillet, Olivier - 1998

Persistent link: https://www.econbiz.de/10000997340

Convergence of discrete time option pricing models under stochastic interest rates

Lesne, J. P.; Prigent, J. L.; Scaillet, O. - 1998

Persistent link: https://www.econbiz.de/10001363446

Options on forward and futures contracts in the affine term structure model

Leblanc, Boris - In: Advances in futures and options research : a research annual 8 (1995), pp. 241-261

Persistent link: https://www.econbiz.de/10001211281

Early exercise decision in American options with dividends, stochastic volatility and jumps

Cosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; … - 2016

Using a fast numerical technique, we investigate a large database of investor suboptimal nonexercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend is essential for a correct calculation of the early...

Persistent link: https://www.econbiz.de/10011625896