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Analytical valuation of power exchange options with default risk
Xu, Guangli; Shao, Xinjian; Wang, Xingchun - In: Finance research letters 28 (2019), pp. 265-274
Persistent link: https://www.econbiz.de/10012388320
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The model-free equivalence condition for American spread options
Kang, Sang Baum; Létourneau, Pascal - In: Theoretical economics letters 7 (2017) 4, pp. 757-763
Persistent link: https://www.econbiz.de/10011706649
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Monte Carlo methods for pricing discrete Parisian options
Bernard, Carole; Boyle, Phelim P. - In: The European journal of finance 17 (2011) 3/4, pp. 169-196
Persistent link: https://www.econbiz.de/10009155447
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Practical policy iteration : generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
Beveridge, Christopher; Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 37 (2013) 7, pp. 1342-1361
Persistent link: https://www.econbiz.de/10009751160
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Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
Joshi, Mark S.; Tang, Robert - In: Journal of economic dynamics & control 40 (2014), pp. 25-45
Persistent link: https://www.econbiz.de/10010424450
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Estimating early exercise premiums on gold and copper options using a multifactor model and density matched lattices
Hilliard, Jimmy E.; Hilliard, Jitka - In: The financial review : the official publication of the … 50 (2015) 1, pp. 27-56
Persistent link: https://www.econbiz.de/10010503982
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Analyses of retirement benefits with options
Lin, Chung-gee; Yang, Wei-ning; Chen, Shu-chuan - In: Economic modelling 36 (2014), pp. 130-135
Persistent link: https://www.econbiz.de/10010412430
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Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions
Gerer, Johannes; Dorfleitner, Gregor - In: Review of derivatives research 21 (2018) 2, pp. 175-199
Persistent link: https://www.econbiz.de/10012055737
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General lattice methods for arithmetic Asian options
Gambaro, Anna Maria; Kyriakou, Ioannis; Fusai, Gianluca - In: European journal of operational research : EJOR 282 (2020) 3, pp. 1185-1199
Persistent link: https://www.econbiz.de/10012161893
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Early exercise, implied volatility spread and future stock return : jumps bind them all
Garrett, Ian; Gazi, Adnan - In: The journal of futures markets 44 (2024) 5, pp. 720-743
Persistent link: https://www.econbiz.de/10014536677