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Using Richardson extrapolation techniques to price American options with alternative stochastic processes

Chang, Chuang-chang; Lin, Jun-biao; Tsai, Wei-che; … - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 383-406

Persistent link: https://www.econbiz.de/10009673702

Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model

Bayer, Christian; Ben Hammouda, Chiheb; Tempone, Raúl - In: Quantitative finance 20 (2020) 9, pp. 1457-1473

Persistent link: https://www.econbiz.de/10012295614

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

Early exercise premium method for pricing American options under the J-model

Jerbi, Yacin - In: Financial innovation : FIN 2 (2016) 21, pp. 1-26

Background: This study develops a new model called J-am for pricing American options and for determining the related early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined in the study by Jerbi (Quantitative Finance,...

Persistent link: https://www.econbiz.de/10011590292

Loan growth and bank solvency : evidence from the Pakistani banking sector

Kashif, Muhammad; Iftikhar, Syed Faizan; Iftikhar, Khurram - In: Financial innovation : FIN 2 (2016) 22, pp. 1-13

Persistent link: https://www.econbiz.de/10011590309

Double barrier American put option pricing under uncertain volatility model

Zaineb, El Kharrazi; Sahar, Saoud; Zouhir, Mahani - In: International journal of financial engineering 8 (2021) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10012662317