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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

American and exotic options in a market with frictions

Junike, Gero; Arratia, Argimiro; Cabaña, Alejandra; … - In: The European journal of finance 26 (2020) 2/3, pp. 179-199

Persistent link: https://www.econbiz.de/10012207193

American option pricing under the double Heston model based on asymptotic expansion

Zhang, S. M.; Feng, Y. - In: Quantitative finance 19 (2019) 2, pp. 211-226

Persistent link: https://www.econbiz.de/10012194649

Representation of exchange option prices under stochastic volatility jump-diffusion dynamics

Cheang, Gerald H. L.; Garces, Len Patrick Dominic M. - In: Quantitative finance 20 (2020) 2, pp. 291-310

Persistent link: https://www.econbiz.de/10012194867

Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models

Goudenège, Ludovic; Molent, Andrea; Zanette, Antonino - In: Quantitative finance 20 (2020) 4, pp. 573-591

Persistent link: https://www.econbiz.de/10012194908

Bootstrapping the early exercise boundary in the least-squares monte carlo method

Létourneau, Pascal; Stentoft, Lars - In: Journal of risk and financial management : JRFM 12 (2019) 4/190, pp. 1-21

This paper proposes an innovative algorithm that significantly improves on the approximation of the optimal early exercise boundary obtained with simulation based methods for American option pricing. The method works by exploiting and leveraging the information in multiple cross-sectional...

Persistent link: https://www.econbiz.de/10012170988

American options and incomplete information

Ekström, Erik; Vannestål, Martin - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-14

Persistent link: https://www.econbiz.de/10012153092

American step options

Detemple, Jérôme B.; Laminou Abdou, Souleymane; … - In: European journal of operational research : EJOR 282 (2020) 1, pp. 363-385

Persistent link: https://www.econbiz.de/10012157702

The volatility target effect in investment-linked products with embedded American-type derivatives

Albeverio, Sergio; Steblovskaya, Victoria; Wallbaum, Kai - In: Investment management and financial innovations 16 (2019) 3, pp. 18-28

Persistent link: https://www.econbiz.de/10012159339

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