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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

On American VIX options under the generalized 3/2 and 1/2 models

Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 550-581

Persistent link: https://www.econbiz.de/10011969085

Convergence of a least-squares Monte Carlo algorithm for American option pricing with dependent sample data

Zanger, Daniel Z. - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 447-479

Persistent link: https://www.econbiz.de/10011969162

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

Explicit Heston solutions and stochastic approximation for path-dependent option pricing

Kouritzin, Michael A. - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-45

Persistent link: https://www.econbiz.de/10011846484

Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model

Leippold, Markus; Vasiljević, Nikola - In: Journal of banking & finance 77 (2017), pp. 78-94

Persistent link: https://www.econbiz.de/10011814354

Optimal accelerated share repurchases

Jaimungal, S.; Kinzebulatov, D.; Rubisov, D. H. - In: Applied mathematical finance 24 (2017) 3/4, pp. 216-245

Persistent link: https://www.econbiz.de/10011815227

A unified approach to Bermudan and barrier options under stochastic volatility models with jumps

Kirkby, J. Lars; Nguyen, Duy; Cui, Zhenyu - In: Journal of economic dynamics & control 80 (2017), pp. 75-100

Persistent link: https://www.econbiz.de/10011817629

Calibration to American options : numerical investigation of the de-Americanization method

Burkovska, O.; Gass, M.; Glau, Kathrin; Mahlstedt, M.; … - In: Quantitative finance 18 (2018) 7, pp. 1091-1113

Persistent link: https://www.econbiz.de/10011911523

American option valuation methods

Zhao, Jinsha - In: International journal of economics and finance 10 (2018) 5, pp. 1-13

Persistent link: https://www.econbiz.de/10011861003