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Super-hedging American options with semi-static trading strategies under model uncertainty

Bayraktar, Erhan; Zhou, Zhou - In: International journal of theoretical and applied finance 20 (2017) 6, pp. 1-10

Persistent link: https://www.econbiz.de/10011734088

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

High-performance American option pricing

Andersen, Leif B. G.; Lake, Mark; Offengenden, Dimitri - In: The journal of computational finance 20 (2016) 1, pp. 39-87

Persistent link: https://www.econbiz.de/10011639531

Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions

Chen, Yangang; Wan, Justin W. L. - In: Quantitative finance 21 (2021) 1, pp. 45-67

Persistent link: https://www.econbiz.de/10012424632

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

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

Pricing American barrier options with discrete dividends by binomial trees

Gaudenzi, Marcellino; Zanette, Antonino - In: Decisions in Economics and Finance 32 (2009) 2, pp. 129-148

Persistent link: https://www.econbiz.de/10005015140

The valuation of option contracts subject to counterparty risk

Sturn, Raphael Christian Benedikt - 2019

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

A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options

Reesor, R. Mark; Stentoft, Lars; Zhu, Xiaotian - In: Finance research letters 64 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014531706

Apply deep reinforcement learning with quantum computing on the pricing of American options

Yang, Junzheng - In: Internet finance and digital economy : advances in …, (pp. 675-694). 2024

Persistent link: https://www.econbiz.de/10014534615