Search Results - subject:"exercise boundary"

Pricing multidimensional American options

Algiardi, Elettra; Aliardi, Rossella - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-10

A new explicit form is provided for the solution of optimal stopping problems involving a multidimensional geometric Brownian motion. A free-boundary value approach is adopted and the value function is obtained via fundamental solution methods. There are many applications for the valuation of...

Persistent link: https://www.econbiz.de/10014284686

Optimal exercise frontier of Bermudan options by simulation methods

Xie, Dejun; Edwards, David A.; Wu, Xiaoxia - In: International journal of financial engineering 9 (2022) 3, pp. 2250013-1-2250013-20

Persistent link: https://www.econbiz.de/10013367611

Deep learning and American options via free boundary framework

Nwankwo, Chinonso I.; Umeorah, Nneka; Ware, Tony; Dai, … - In: Computational economics 64 (2024) 2, pp. 979-1022

Persistent link: https://www.econbiz.de/10015078072

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

Efficient adaptive strategies with fourth-order compact scheme for a fixed-free boundary regime-switching model

Nwankwo, Chinonso I.; Dai, Weizhong - In: Decisions in economics and finance : a journal of … 47 (2024) 1, pp. 43-82

Persistent link: https://www.econbiz.de/10015044785

Compact finite difference scheme with hermite interpolation for pricing American put options based on regime switching model

Nwankwo, Chinonso I.; Dai, Weizhong; Liu, Rui Hua - In: Computational economics 62 (2023) 3, pp. 817-854

Persistent link: https://www.econbiz.de/10014382839

Optimal expansion of business opportunity

Wang, Ling; Chen, Kexin; Chiu, Mei Choi; Wong, Hoi Ying - In: European journal of operational research : EJOR 309 (2023) 1, pp. 432-445

Persistent link: https://www.econbiz.de/10014290583

Evaluating credit valuation adjustment with wrong-way risk for Bermudan options

Dong, Bing; Xu, Wei; Wang, Guangguang - In: The journal of computational finance : JFC 27 (2023) 3, pp. 115-155

Persistent link: https://www.econbiz.de/10014487048

Bootstrapping the early exercise boundary in the least-squares monte carlo method

Létourneau, Pascal; Stentoft, Lars - In: Journal of Risk and Financial Management 12 (2019) 4, pp. 1-21

exercise boundary obtained with simulation based methods for American option pricing. The method works by exploiting and … method naturally disassociates the estimation of the optimal early exercise boundary from the pricing of the option …, significant efficiency gains can be obtained by using less simulated paths and repetitions to estimate the optimal early exercise …

Persistent link: https://www.econbiz.de/10012611193

Bootstrapping the early exercise boundary in the least-squares monte carlo method

Létourneau, Pascal; Stentoft, Lars - In: Journal of risk and financial management : JRFM 12 (2019) 4/190, pp. 1-21

Persistent link: https://www.econbiz.de/10012170988