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  • Search: subject:"Optimal exercise time"
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Year of publication
Subject
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optimal exercise time 2 American arithmetic average option 1 American options 1 American warrants 1 Arithmetic average 1 Dimension reduction 1 Optimal exercise time 1 Option pricing theory 1 Option trading 1 Options américaines 1 Optionsgeschäft 1 Optionspreistheorie 1 WIG20 index 1 actif non-marchand 1 aversion au risque 1 certainty-equivalent 1 contraintes de portefeuille 1 executive compensation options 1 liquidity 1 liquidité 1 non-traded asset 1 options de compensation de dirigeants 1 portfolio constraints 1 private valuation 1 risk aversion 1 temps d'exercice optimal 1 valeur privée 1 équivalent certain 1
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Online availability
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Free 2 Undetermined 1
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 3
Author
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Detemple, Jérôme B. 1 Jin, Xing 1 Stawiarski, Bartosz 1 Sundaresan, Suresh 1 Yang, Cheng-Yu 1
Institution
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 1
Published in...
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CIRANO Working Papers 1 HSC Research Reports 1 International review of financial analysis 1
Source
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RePEc 2 ECONIS (ZBW) 1
Showing 1 - 3 of 3
Cover Image
Efficient estimation of lower and upper bounds for pricing higher-dimensional American arithmetic average options by approximating their payoff functions
Jin, Xing; Yang, Cheng-Yu - In: International review of financial analysis 44 (2016), pp. 65-77
Persistent link: https://www.econbiz.de/10011623807
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Cover Image
Finding the optimal exercise time for American warrants on WIG20 futures (Wyznaczanie optymalnego momentu wykonania warrantów amerykańskich na kontrakty futures na indeks WIG20)
Stawiarski, Bartosz - Hugo Steinhaus Center for Stochastic Methods, … - 2004
Using dynamic programming techniques the optimal exercise time for American warrants on WIG20 futures is found. …
Persistent link: https://www.econbiz.de/10009003620
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Cover Image
Non-Traded Asset Valuation with Portfolio Constraints: A Binomial Approach
Detemple, Jérôme B.; Sundaresan, Suresh - Centre Interuniversitaire de Recherche en Analyse des … - 1999
We provide a simple binomial framework to value American-style derivatives subject to trading restrictions. The optimal investment of liquid wealth is solved simultaneously with the early exercise decision of the non-traded derivative. No-short-sales constraints on the underlying asset manifest...
Persistent link: https://www.econbiz.de/10005100781
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