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American options and callable bonds under stochastic interest rates and endogenous bankruptcy
Nunes, Joaõ Pedro Vidal - In: Review of derivatives research 14 (2011) 3, pp. 283-332
Persistent link: https://www.econbiz.de/10009349987
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Apply deep reinforcement learning with quantum computing on the pricing of American options
Yang, Junzheng - In: Internet finance and digital economy : advances in …, (pp. 675-694). 2024
Persistent link: https://www.econbiz.de/10014534615
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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 valuation of option contracts subject to counterparty risk
Sturn, Raphael Christian Benedikt - 2019
Persistent link: https://www.econbiz.de/10012173134
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American options and stochastic interest rates
Battauz, Anna; Rotondi, Francesco - In: Computational management science 19 (2022) 4, pp. 567-604
Persistent link: https://www.econbiz.de/10013447493
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Pricings and hedgings of the perpetual Russian options
Li, Weiping; Chen, Su - In: Journal of financial engineering 1 (2014) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10010508090
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Portfolio selection in mean-minimum return level-expected bounded first passage time framework
Kutalia, Tsotne - In: Journal of mathematical finance 9 (2019) 3, pp. 229-238
Persistent link: https://www.econbiz.de/10012210157
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Portfolio selection in mean-minimum return level-expected bounded first passage time framework
Kutalia, Tsotne - In: Inventi impact: microfinance & banking (2019) 4, pp. 225-234
Persistent link: https://www.econbiz.de/10012430848
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The early exercise premium in American options by using nonparametric regressions
Li, Weiping; Chen, Su - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-29
Persistent link: https://www.econbiz.de/10011956935
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Randomized stopping times and early exercise for American derivatives in dry markets
Matos, João Amaro de; Lacerda, Ana - In: Journal of mathematical finance 6 (2016) 5, pp. 842-865
Persistent link: https://www.econbiz.de/10011657696