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Universal option valuation using quadrature methods
Andricopoulos, Ari D.; Widdicks, Martin; Duck, Peter W.; … - In: Journal of financial economics 67 (2003) 3, pp. 447-471
Persistent link: https://www.econbiz.de/10001739259
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The Black-scholes equation revisited : asymptotic expansions and singular perturbations
Widdicks, Martin; Duck, Peter W.; Andricopoulos, Ari D.; … - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 373-391
Persistent link: https://www.econbiz.de/10002725537
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Extending quadrature methods to value multi-asset and complex path dependent options
Andricopoulos, Ari D.; Widdicks, Martin; Newton, David P.; … - In: Journal of financial economics 83 (2007) 2, pp. 471-499
Persistent link: https://www.econbiz.de/10003425492
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Curtailing the range for lattice and grid methods
Andricopoulos, Ari D.; Widdick, Martin; Duck, Peter W.; … - In: The journal of derivatives : the official publication … 11 (2004) 4, pp. 55-61
Persistent link: https://www.econbiz.de/10002108943
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Enhancing the accuracy of pricing American and Bermudan options
Duck, Peter W.; Newton, David P.; Widdicks, Martin; … - In: The journal of derivatives : the official publication … 12 (2004) 4, pp. 34-44
Persistent link: https://www.econbiz.de/10003010747
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Singular perturbation techniques applied to multiasset option pricing
Duck, Peter W.; Yang, Chao; Newton, David P.; Widdicks, … - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 457-486
Persistent link: https://www.econbiz.de/10003882793
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A new prepayment model (with default): an occupation-time derivative approach
Sharp, Nicholas J.; Johnson, Paul V.; Newton, David P.; … - In: The journal of real estate finance and economics 39 (2009) 2, pp. 118-145
Persistent link: https://www.econbiz.de/10003873975
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Application of option pricing theory to R&D
Newton, David P. - 1992
Persistent link: https://www.econbiz.de/10000846124
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An improved fixed-rate mortgage valuation methodology with interacting prepayment and default options
Sharp, Nicholas J.; Newton, David P.; Duck, Peter W. - In: The journal of real estate finance and economics 36 (2008) 3, pp. 307-342
Persistent link: https://www.econbiz.de/10003733641
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Real R&D Options
Widdicks, Martin; Paxson, Dean A.; Newton, David - 2004
Real options have been growing in popularity in recent years, and this has been accompanied by improvements in their modelling and valuation. Real options enable companies or managers to value projects more accurately by incorporating managerial flexibilities into the valuation model. This is in...
Persistent link: https://www.econbiz.de/10014068976