Similar Search Results

A new approach to check the free boundary of single factor interest rate put option

Allegretto, Walter; Barone-Adesi, Giovanni; Dinenis, Elias - In: Finance : revue de l'Association Française de Finance 20 (1999) 2, pp. 153-168

Persistent link: https://www.econbiz.de/10001544341

Valuation of derivatives based on single-factor interest rate models

Sorwar, Ghulam; Barone-Adesi, Giovanni; Allegretto, Walter - In: Global finance journal 18 (2007) 2, pp. 251-269

Persistent link: https://www.econbiz.de/10003704514

Numerical evaluation of the critical price and American options

Allegretto, Walter; Barone-Adesi, Giovanni; Elliott, … - 1994

Persistent link: https://www.econbiz.de/10000899141

Numerical evaluation of the critical price and American options

Allegretto, Walter; Barone-Adesi, Giovanni; Elliott, … - In: The European journal of finance 1 (1995) 1, pp. 69-78

Persistent link: https://www.econbiz.de/10001192799

Interest rate barrier options

Barone-Adesi, Giovanni; Sorwar, Ghulam - In: Computational methods in decision-making, economics and …, (pp. 313-324). 2010

Persistent link: https://www.econbiz.de/10009153078

Valuation of two-factor interest rate contingent claims using Green's theorem

Sorwar, Ghulam; Barone-Adesi, Giovanni - In: Applied mathematical finance 18 (2011) 3/4, pp. 277-289

Persistent link: https://www.econbiz.de/10009381923

Value at risk under jump GARCH processes

Sorwar, Ghulam; Barone-Adesi, Giovanni - In: Banking and finance review 2 (2010) 1, pp. 27-36

Persistent link: https://www.econbiz.de/10008936635

A novel approach to the valuation of American options

Allegretto, Walter; Lin, Yanping; Yang, Hongtao - In: Global finance journal 13 (2002) 1, pp. 17-28

Persistent link: https://www.econbiz.de/10001716558

A Finite Element Method for Pricing American Put Options on Zero-Coupon Bonds

Allegretto, Walter - 2001

We propose a new finite element method for American put options on zero-coupon bonds. Numerical examples are presented to compare this method with the finite element method and the finite volume method in [1] and the simplified binomial method in [8]

Persistent link: https://www.econbiz.de/10012742434

Implied derivative security prices based two-factor interest model : a UK application

Sorwar, Ghulam - In: Applied financial economics 15 (2005) 10, pp. 739-744

Persistent link: https://www.econbiz.de/10002955246