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American options and callable...
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American options
212
Optionspreistheorie
121
Option pricing theory
119
Option trading
70
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70
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65
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63
stochastic interest rates
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27
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optimal stopping
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American Options
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Monte-Carlo-Simulation
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Stochastic volatility
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stochastic volatility
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European options
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Hedging
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Optimal stopping time
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13
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12
Zinsstruktur
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american options
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option pricing
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Chiarella, Carl
17
Ziogas, Andrew
14
Stentoft, Lars
12
Detemple, Jérôme B.
7
Alvarez, Luis H. R.
6
Koskela, Erkki
6
Nikitopoulos, Christina Sklibosios
6
Battauz, Anna
5
Broadie, Mark
5
Cheng, Benjamin
5
Schlögl, Erik
5
Bandini, Elena
4
Ben-Ameur, Hatem
4
Cerrato, Mario
4
De Angelis, Tiziano
4
De Donno, Marzia
4
Ferrari, Giorgio
4
Gozzi, Fausto
4
Reesor, R. Mark
4
Sbuelz, Alessandro
4
Zanette, Antonino
4
Ziveyi, Jonathan
4
Abbasyan, Abdollah
3
Bayraktar, Erhan
3
Carr, Peter
3
Cheang, Gerald H. L.
3
Cui, Zhenyu
3
Deelstra, Griselda
3
Elliott, Robert
3
Escobar, Marcos
3
Jou, Jyh-Bang
3
Kang, Boda
3
Kraft, Holger
3
Leippold, Markus
3
Rayée, Grégory
3
Rotondi, Francesco
3
Wallner, Christian
3
Warin, Xavier
3
Wystup, Uwe
3
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2
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6
Henley Business School, University of Reading
5
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
5
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3
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
Universität Ulm
1
Wydział Nauk Ekonomicznych, Uniwersytet Warszawski
1
Økonomisk Institut, Københavns Universitet
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Finance and Stochastics
14
Management Science
11
International journal of theoretical and applied finance
10
Research Paper Series / Finance Discipline Group, Business School
10
International Journal of Theoretical and Applied Finance (IJTAF)
9
Quantitative Finance
9
Quantitative finance
8
Review of Derivatives Research
8
Applied Mathematical Finance
7
Finance
7
The journal of computational finance
7
CIRANO Working Papers
6
Review of derivatives research
6
Applied mathematical finance
5
ICMA Centre Discussion Papers in Finance
5
Journal of economic dynamics & control
5
MPRA Paper
5
Mathematical finance : an international journal of mathematics, statistics and financial theory
5
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
Computational Statistics
4
European journal of operational research : EJOR
4
Mathematical Methods of Operations Research
4
CREATES Research Papers
3
Computational economics
3
European Journal of Operational Research
3
Insurance / Mathematics & economics
3
International journal of theoretical and applied finance : IJTAF
3
Journal of Risk and Financial Management
3
Journal of banking & finance
3
Journal of risk and financial management : JRFM
3
Mathematical finance : an international journal of mathematics, statistics and financial economics
3
Risks
3
Risks : open access journal
3
SIRE Discussion Papers
3
The European Journal of Finance
3
Asia-Pacific Financial Markets
2
CESifo Working Paper
2
CESifo Working Paper Series
2
CESifo working papers
2
CPQF Working Paper Series
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RePEc
179
ECONIS (ZBW)
146
EconStor
15
BASE
5
Other ZBW resources
2
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131
Pricing early-exercise options using genetic optimization
Powell, Stephen G.
- In:
The journal of derivatives : the official publication …
20
(
2012
)
3
,
pp. 43-59
Persistent link: https://www.econbiz.de/10009725349
Saved in:
132
Analytical pricing of American options
Cheng, Jun
;
Zhang, Jin E.
- In:
Review of derivatives research
15
(
2012
)
2
,
pp. 157-192
Persistent link: https://www.econbiz.de/10009629059
Saved in:
133
Perpetual options on multiple underlyings
Duck, Peter W.
;
Evatt, Geoffrey W.
;
Johnson, Paul V.
- In:
Applied mathematical finance
21
(
2014
)
1/2
,
pp. 174-200
Persistent link: https://www.econbiz.de/10010352003
Saved in:
134
Upper and lower bounds for convex value functions of derivative contracts
Ben-Ameur, Hatem
;
Frutos, Javier de
;
Fakhfakh, Tarek
; …
- In:
Economic modelling
34
(
2013
),
pp. 69-75
Persistent link: https://www.econbiz.de/10010360612
Saved in:
135
Pricing and static hedging of American-style options under the jump to default extended CEV model
Ruas, João Pedro
;
Dias, José Carlos
;
Nunes, Joaõ …
- In:
Journal of banking & finance
37
(
2013
)
11
,
pp. 4059-4072
Persistent link: https://www.econbiz.de/10010244898
Saved in:
136
Efficient pricing of high-dimensional American-style derivatives : a robust regression Monte Carlo method
Jonen, Christian
-
2011
Persistent link: https://www.econbiz.de/10010204985
Saved in:
137
A method for pricing American options using semi-infinite linear programming
Christensen, Sören
- In:
Mathematical finance : an international journal of …
24
(
2014
)
1
,
pp. 156-172
Persistent link: https://www.econbiz.de/10010256174
Saved in:
138
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
Saved in:
139
A robust tree method for pricing American options with the Cox-Ingersoll-Ross interest rate model
Appolloni, Elisa
;
Caramellino, Lucia
;
Zanette, Antonino
- In:
IMA journal of management mathematics
26
(
2015
)
4
,
pp. 377-401
Persistent link: https://www.econbiz.de/10011515669
Saved in:
140
American options with gradual exercise under proportional transaction costs
Roux, Alet
;
Zastawniak, Tomasz
- In:
International journal of theoretical and applied finance
17
(
2014
)
8
,
pp. 1-36
Persistent link: https://www.econbiz.de/10010498817
Saved in:
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