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The valuation of option contracts subject to counterparty risk

Sturn, Raphael Christian Benedikt - 2019

Persistent link: https://www.econbiz.de/10012173134

The effects of negative nominal rates on the pricing of American calls : some theoretical and numerical insights

Cafferata, Alessia; Giribone, Pier Giuseppe; Resta, Marina - In: Modern economy 8 (2017) 7, pp. 878-887

Persistent link: https://www.econbiz.de/10011747766

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

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

Real options and American derivatives : the double continuation region

Battauz, Anna; De Donno, Marzia; Sbuelz, Alessandro - 2013 - This version: July, 2013

Persistent link: https://www.econbiz.de/10011817721

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

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

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

Superhedging prices of European and American options in a non-linear incomplete market with default

Grigorova, Miryana; Quenez, Marie-Clair; Sulem, Agnès - 2018

This paper studies the superhedging prices and the associated superhedging strategies for European and American options in a non-linear incomplete market with default. We present the seller's and the buyer's point of view. The underlying market model consists of a risk-free asset and a risky...

Persistent link: https://www.econbiz.de/10011957094

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