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Search: subject:"Early exercise boundary"
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American option pricing
4
Early exercise boundary
4
Early exercise premium
4
Heston model
4
J-formula
4
J-law
4
J-process
4
Stochastic volatility model
4
Optionspreistheorie
3
Stochastischer Prozess
3
Option pricing theory
2
Option trading
2
Optionsgeschäft
2
Stochastic process
2
Volatility
2
Volatilität
2
American Options
1
American call option, Stochastic volatility, Early exercise boundary, Chebyshev polynomials
1
Bank
1
Bank lending
1
Black-Scholes model
1
Black-Scholes-Modell
1
Cubic Spline
1
Early Exercise Boundary
1
Free Boundary Value Problem
1
Kreditgeschäft
1
Option Valuation
1
Pakistan
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Iftikhar, Khurram
2
Iftikhar, Syed Faizan
2
Jerbi, Yacin
2
Kashif, Muhammad
2
Rodolfo, Karl
1
Tzavalis, Elias
1
Wang, Shijun
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Financial Innovation
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Financial innovation : FIN
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EconStor
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ECONIS (ZBW)
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1
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 …
Persistent link: https://www.econbiz.de/10011808230
Saved in:
2
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 …
Persistent link: https://www.econbiz.de/10011808231
Saved in:
3
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 …
Persistent link: https://www.econbiz.de/10011590292
Saved in:
4
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 …
Persistent link: https://www.econbiz.de/10011590309
Saved in:
5
A Comparative Study of American Option Valuation and Computation
Rodolfo, Karl
-
2007
pricing methods. Further comparison is made tothe behaviour of the American option's
early
exercise
boundary
with otherpricing …
Persistent link: https://www.econbiz.de/10009480117
Saved in:
6
Pricing American options under stochastic volatility: A new method using Chebyshev polynomials to approximate the
early
exercise
boundary
Tzavalis, Elias
;
Wang, Shijun
-
2003
This paper presents a new numerical method for pricing American call options when the volatility of the price of the underlying stock is stochastic. By exploiting a log-linear relationship of the optimal exercise boundary with respect to volatility changes, we derive an integral representation...
Persistent link: https://www.econbiz.de/10010284217
Saved in:
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