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Real options and American derivatives : the double continuation region
Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro - In: Management science : journal of the Institute for … 61 (2015) 5, pp. 1094-1107
Persistent link: https://www.econbiz.de/10011284877
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How does statutory redemption affect a buyer's decision at the foreclosure sale?
Jou, Jyh-Bang; Lee, Tan - In: International review of economics & finance : IREF 45 (2016), pp. 263-272
Persistent link: https://www.econbiz.de/10011626362
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Agglomeration externalities and urban growth controls
Vermeulen, Wouter - In: Journal of economic geography 17 (2017) 1, pp. 59-94
Persistent link: https://www.econbiz.de/10011738355
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On pricing options with stressed-beta in a reduced form model
Kim, Geonwoo; Lim, Hyuncheul; Lee, Sungchul - In: Review of derivatives research 18 (2015) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10011414105
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An improved method for pricing and hedging long dated American options
Fabozzi, Frank J.; Paletta, Tommaso; Stanescu, Silvia; … - In: European journal of operational research : EJOR 254 (2016) 2, pp. 656-666
Persistent link: https://www.econbiz.de/10011509024
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On the consistency of regression-based Monte Carlo methods for pricing Bermudan options in case of estimated financial models
Fromkorth, Andreas; Köhler, Michael - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 371-399
Persistent link: https://www.econbiz.de/10011350612
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Efficient conservative second-order central-upwind schemes for option-pricing problems
Bhatoo, Omishwary; Peer, Arshad Ahmud Iqbal; Tadmor, Eitan - In: The journal of computational finance 22 (2018/2019) 5, pp. 71-101
Persistent link: https://www.econbiz.de/10012042237
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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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Path-dependent American options
Chevalier, Etienne; Ly Vath, Vathana; Mnif, Mohamed - In: The journal of computational finance 23 (2019) 1, pp. 61-95
Persistent link: https://www.econbiz.de/10012064988
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High-performance American option pricing
Andersen, Leif B. G.; Lake, Mark; Offengenden, Dimitri - In: The journal of computational finance 20 (2016) 1, pp. 39-87
Persistent link: https://www.econbiz.de/10011639531