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An efficient binomial method for pricing American options
Gaudenzi, Marcellino; Pressacco, Flavio - In: Decisions in economics and finance : DEF ; a journal of … 26 (2003) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10003837087
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A model of deferred callability in defaultable debt
Mjøs, Aksel; Persson, Svein-Arne - 2009
Persistent link: https://www.econbiz.de/10003838537
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Singular perturbation techniques applied to multiasset option pricing
Duck, Peter W.; Yang, Chao; Newton, David P.; Widdicks, … - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 457-486
Persistent link: https://www.econbiz.de/10003882793
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Alternative formulas to compute implied standard deviation
Ang, James S.; Jou, Gwoduan David; Lai, Tsong-yue - In: Review of Pacific Basin financial markets and policies 12 (2009) 2, pp. 159-176
Persistent link: https://www.econbiz.de/10003871567
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Options on normal underlyings with an application to the pricing or survivor swaptions
Dawson, Paul; Dowd, Kevin; Cairns, Andrew; Blake, David - In: The journal of futures markets 29 (2009) 8, pp. 757-774
Persistent link: https://www.econbiz.de/10003900592
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Smooth convergence in the binomial model
Chang, Lo-Bin; Palmer, Ken - In: Finance and stochastics 11 (2007) 1, pp. 91-105
Persistent link: https://www.econbiz.de/10003410639
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Financial markets in continuous time
Dana, Rose-Anne; Jeanblanc, Monique - 2007 - Corr. 2. print.
Persistent link: https://www.econbiz.de/10003453129
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Valuing reload options
Ingersoll, Jonathan E. - In: Review of derivatives research 9 (2006) 1, pp. 67-105
Persistent link: https://www.econbiz.de/10003441193
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A Monte Carlo approach for the American put under stochastic interest rates
Lindset, Snorre; Lund, Arne-Christian - In: Journal of economic dynamics & control 31 (2007) 4, pp. 1081-1105
Persistent link: https://www.econbiz.de/10003443353
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Numerical treatment of the Black-Scholes variational inequality in computational finance
Mautner, Karin (contributor) - 2006
In der Finanzmathematik hat der Besitzer einer amerikanische Option das Recht aber nicht die Pflicht, eine Aktie innerhalb eines bestimmten Zeitraums, für einen bestimmten Preis zu kaufen oder zu verkaufen. Die Bewertung einer amerikanische Option wird als so genanntes optimale stopping Problem...
Persistent link: https://www.econbiz.de/10003448658