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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

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

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

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

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

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

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

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