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  • Search: subject:"Early Exercise"
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Year of publication
Subject
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Optionspreistheorie 8 Option pricing theory 7 early exercise premium 5 American option pricing 4 Early exercise boundary 4 Early exercise premium 4 Heston model 4 J-formula 4 J-law 4 J-process 4 Option trading 4 Optionsgeschäft 4 Stochastic volatility model 4 Stochastischer Prozess 4 early exercise 4 American option 3 Stochastic process 3 failure to exercise 3 liquidity demand 3 putable bond 3 American options 2 Anlageverhalten 2 Behavioural finance 2 Volatility 2 Volatilität 2 free-boundary problem 2 hedging 2 optimal stopping 2 options américaines 2 random strike 2 real options 2 American Option pricing 1 American Options 1 American call option, Stochastic volatility, Early exercise boundary, Chebyshev polynomials 1 American put option 1 Anleihe 1 Arbeitskampf 1 Bank 1 Bank lending 1 Bermudan put option 1
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Online availability
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Free 18 CC license 1
Type of publication
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Book / Working Paper 10 Article 8
Type of publication (narrower categories)
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Article in journal 4 Aufsatz in Zeitschrift 4 Article 3 Hochschulschrift 3 Thesis 3 Working Paper 3 Collection of articles of several authors 2 Sammelwerk 2 Arbeitspapier 1 Collection of articles written by one author 1 Graue Literatur 1 Non-commercial literature 1 Sammlung 1
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Language
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English 14 Undetermined 3 German 2
Author
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Eickholt, Mathias 4 Entrop, Oliver 4 Wilkens, Marco 4 Detemple, Jérôme B. 3 Iftikhar, Khurram 2 Iftikhar, Syed Faizan 2 Jerbi, Yacin 2 Kashif, Muhammad 2 Kitapbayev, Yerkin 2 Boldin, Denis 1 Bottasso, Anna 1 Bruno, Lorenzo 1 Detemple, Jerome 1 Dorfleitner, Gregor 1 Gerer, Johannes 1 Giribone, Pier Giuseppe 1 Osakwe, Carlton 1 Poitras, Geoffrey 1 Rodolfo, Karl 1 Tzavalis, Elias 1 Veld, Chris 1 Wang, Shijun 1 Zabolotnyuk, Yuriy 1
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Institution
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 2 Fakultät für Wirtschaftswissenschaften, Universität Passau 1
Published in...
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CIRANO Working Papers 2 Financial Innovation 2 Financial innovation : FIN 2 Multinational Finance Journal 1 Passauer Diskussionspapiere 1 Passauer Diskussionspapiere - Betriebswirtschaftliche Reihe 1 Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 1 Risk management magazine 1 Risks 1 Risks : open access journal 1 Working Paper 1
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Source
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ECONIS (ZBW) 8 EconStor 5 RePEc 4 BASE 1
Showing 1 - 10 of 18
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The impact of negative interest rates on the pricing of options written on equity : a technical study for a suitable estimate of early termination
Bottasso, Anna; Bruno, Lorenzo; Giribone, Pier Giuseppe - In: Risk management magazine 17 (2022) 3, pp. 25-41
early exercise, thus expanding the existing literature. The two following paragraphs are dedicated to describing the models …
Persistent link: https://www.econbiz.de/10013501175
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Early exercise premium method for pricing American options under the J-model
Jerbi, Yacin - In: Financial Innovation 2 (2016) 21, pp. 1-26
early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined … option context. The aforesaid function f represents the cash flows resulting from an early exercise of the option. Methods …: This study develops the theoretical formulas of the early exercise premium value related to three American option pricing …
Persistent link: https://www.econbiz.de/10011808230
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Loan growth and bank solvency: evidence from the Pakistani banking sector
Kashif, Muhammad; Iftikhar, Syed Faizan; Iftikhar, Khurram - In: Financial Innovation 2 (2016) 22, pp. 1-13
early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined … option context. The aforesaid function f represents the cash flows resulting from an early exercise of the option. Methods …: This study develops the theoretical formulas of the early exercise premium value related to three American option pricing …
Persistent link: https://www.econbiz.de/10011808231
Saved in:
Cover Image
Early exercise premium method for pricing American options under the J-model
Jerbi, Yacin - In: Financial innovation : FIN 2 (2016) 21, pp. 1-26
early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined … option context. The aforesaid function f represents the cash flows resulting from an early exercise of the option. Methods …: This study develops the theoretical formulas of the early exercise premium value related to three American option pricing …
Persistent link: https://www.econbiz.de/10011590292
Saved in:
Cover Image
Loan growth and bank solvency : evidence from the Pakistani banking sector
Kashif, Muhammad; Iftikhar, Syed Faizan; Iftikhar, Khurram - In: Financial innovation : FIN 2 (2016) 22, pp. 1-13
early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined … option context. The aforesaid function f represents the cash flows resulting from an early exercise of the option. Methods …: This study develops the theoretical formulas of the early exercise premium value related to three American option pricing …
Persistent link: https://www.econbiz.de/10011590309
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Optimal investment under cost uncertainty
Detemple, Jerome; Kitapbayev, Yerkin - In: Risks 6 (2018) 1, pp. 1-19
This paper studies the valuation of real options when the cost of investment jumps at a random time. Three valuation formulas are derived. The first expresses the value of the project in terms of a collection of knockout barrier claims. The second identifies the premium relative to a project...
Persistent link: https://www.econbiz.de/10011996566
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Optimal investment under cost uncertainty
Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Risks : open access journal 6 (2018) 1, pp. 1-19
This paper studies the valuation of real options when the cost of investment jumps at a random time. Three valuation formulas are derived. The first expresses the value of the project in terms of a collection of knockout barrier claims. The second identifies the premium relative to a project...
Persistent link: https://www.econbiz.de/10011811536
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Essays on derivatives pricing in incomplete markets
Gerer, Johannes - 2016
Persistent link: https://www.econbiz.de/10012128861
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What makes individual investors exercise early? Empirical evidence from the fixed-income market
Eickholt, Mathias; Entrop, Oliver; Wilkens, Marco - 2014
This paper studies the empirical early exercise behavior of Individual Investors in non-tradable putable bonds … findings are: (i) Individual Investors use their early exercise right predominantly at points in time that are not economically …
Persistent link: https://www.econbiz.de/10010421082
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What makes individual investors exercise early? Empirical evidence from the fixed-income market
Eickholt, Mathias; Entrop, Oliver; Wilkens, Marco - Fakultät für Wirtschaftswissenschaften, Universität … - 2014
This paper studies the empirical early exercise behavior of Individual Investors in non-tradable putable bonds … findings are: (i) Individual Investors use their early exercise right predominantly at points in time that are not economically …
Persistent link: https://www.econbiz.de/10010960469
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