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Der Informationsgehalt von Derivaten für die Geldpolitik : implizite Volatilitäten und Wahrscheinlichkeiten
Neuhaus, Holger - 1995
Persistent link: https://www.econbiz.de/10000550284
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Biases and sensitivities of the black-scholes option price
Lee, Cheng F. - In: Advances in quantitative analysis of finance and … 4 (1996), pp. 105-116
Persistent link: https://www.econbiz.de/10001202959
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An early-exercise-probability perspective of American put options in the low-interest-rate era
Miao, Daniel Wei-Chung; Lee, Yung-Hsin; Chao, Wan-Ling - In: The journal of futures markets 35 (2015) 12, pp. 1154-1172
Persistent link: https://www.econbiz.de/10011546243
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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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Estimation of bid-ask prices for options on LIBOR based instruments
Sonono, Masimba Energy; Mashele, Hopolang Phillip - In: Finance research letters 19 (2016), pp. 33-41
Persistent link: https://www.econbiz.de/10011657436
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A barrier option utility framework for bank interest margin under government bailout
Lin, Ku Jun; Jou, Rosemary; Lin, Tzu-Hao - In: International journal of financial research 5 (2014) 4, pp. 144-154
Persistent link: https://www.econbiz.de/10010459727
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Efficient solutions for pricing and hedging interest rate Asian options
Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - 2020
Persistent link: https://www.econbiz.de/10012171315
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The effects of negative nominal rates on the pricing of American calls : some theoretical and numerical insights
Cafferata, Alessia; Giribone, Pier Giuseppe; Resta, Marina - In: Modern economy 8 (2017) 7, pp. 878-887
Persistent link: https://www.econbiz.de/10011747766
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Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate
Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1089-1123
Persistent link: https://www.econbiz.de/10011765022
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Negative interest rates effects on option pricing : back to basics?
Burro, Giacomo; Giribone, Pier Giuseppe; Ligato, Simone; … - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-27
Persistent link: https://www.econbiz.de/10011778279