Search Results - subject:"exercise strategy"

Three essays on individual investors' early exercise behavior in the fixed-income market

Eickholt, Mathias - 2014

Diese Arbeit untersucht, wie Privatinvestoren vorzeitige Kündigungsrechte in strukturierten Zinsprodukten nutzen. Als Grundlage für die Analyse dient hierbei ein neuartiger, nicht öffentlich verfügbarer Datensatz, der über einen Zeitraum von circa 13 Jahren Entscheidungen von mehr als...

Persistent link: https://www.econbiz.de/10010526654

An exact and efficient method for computing cross-Gammas of Bermudan swaptions and cancelable swaps under the Libor market model

Joshi, Mark S.; Zhu, Dan - In: The journal of computational finance 20 (2016) 1, pp. 113-137

Persistent link: https://www.econbiz.de/10011639618

Gas Storage Valuation: Price Modelling v. Optimization Methods

Bjerksund, Petter; Stensland, Gunnar; Vagstad, Frank - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2008

The existence of a financial gas market motivates the analysis of gas storage as a separate asset, using the market value context for utilization and valuation. In the recent literature, gas storage is typically analysed within a framework with a simple one-factor price dynamics that is solved...

Persistent link: https://www.econbiz.de/10005645082

Various Features of the Chooser Flexible Cap

Ohnishi, Masamitsu; Tamba, Yasuhiro - Graduate School of Economics, Osaka University - 2004

In this paper, we theoretically look into various features of a chooser flexible cap. The chooser flexible cap is a financial instrument written on an underlying market interest rate index, LIBOR (London Inter-Bank Offer Rate). The chooser flexible cap allows a right for a buyer to exercise a...

Persistent link: https://www.econbiz.de/10005774281

Optimal exercise strategies for corporate warrants

Koziol, Christian - In: Quantitative Finance 6 (2006) 1, pp. 37-54

under the competitive exercise variant. Moreover, the value of a warrant in the block case and its exercise strategy do not …

Persistent link: https://www.econbiz.de/10009215125

Efficient Control Variates and Strategies for Bermudan Swaptions in a Libor Market Model

Jensen, Malene Shin; Svenstrup, Mikkel - Ehrvervøkonomisk Institut, Institut for Økonomi - 2002

Andersen (2000) exercise strategy and find <p> it to be much more eﬃcient. Furthermore, we test a range of control <p> variates …

Persistent link: https://www.econbiz.de/10005750410