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Stratified approximations for the pricing of options on average

Privault, Nicolas; Yu, Jiadong - In: The journal of computational finance 19 (2016) 4, pp. 95-113

Persistent link: https://www.econbiz.de/10011603193

Bender, Christian; Schweizer, Nikolaus; Zhuo, Jia - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 866-901

Persistent link: https://www.econbiz.de/10011764983

Integral representation of vega for American put options

Liu, Yanchu; Cui, Zhenyu; Zhang, Ning - In: Finance research letters 19 (2016), pp. 204-208

Persistent link: https://www.econbiz.de/10011657637

On the American swaption in the linear-rational framework

Filipović, Damir; Kitapbayev, Yerkin - 2016

We study American swaptions in the linear-rational (LR) term structure model introduced. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It reduces to a free-boundary problem that we tackle by the local time-space calculus. We...

Persistent link: https://www.econbiz.de/10011516038

Multidimensional investment problem

Christensen, Sören; Salminen, Paavo - In: Mathematics and financial economics 12 (2018) 1, pp. 75-95

Persistent link: https://www.econbiz.de/10011963303

A new integral equation formulation for American put options

Zhu, Song-Ping; He, Xin-Jiang; Lu, Xiaoping - In: Quantitative finance 18 (2018) 3, pp. 483-490

Persistent link: https://www.econbiz.de/10011906400

CTMC integral equation method for American options under stochastic local volatility models

Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - In: Journal of economic dynamics & control 128 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012628259

On the American swaption in the linear-rational framework

Filipović, Damir; Kitapbayev, Yerkin - In: Quantitative finance 18 (2018) 11, pp. 1865-1876

Persistent link: https://www.econbiz.de/10012262857

Closed form optimal exercise boundary of the American put option

Kitapbayev, Yerkin - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10012650204

Callable barrier reverse convertible securities

Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Quantitative finance 21 (2021) 9, pp. 1519-1532

Persistent link: https://www.econbiz.de/10012624152