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American options and callable bonds under stochastic interest rates and endogenous bankruptcy

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Apply deep reinforcement learning with quantum computing on the pricing of American options

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The valuation of option contracts subject to counterparty risk

Sturn, Raphael Christian Benedikt - 2019

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American options on high dividend securities : a numerical investigation

Rotondi, Francesco - In: Risks : open access journal 7 (2019) 2/59, pp. 1-20

I document a sizeable bias that might arise when valuing out of the money American options via the Least Square Method proposed by Longstaff and Schwartz (2001). The key point of this algorithm is the regression-based estimate of the continuation value of an American option. If this regression...

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American options and stochastic interest rates

Battauz, Anna; Rotondi, Francesco - In: Computational management science 19 (2022) 4, pp. 567-604

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Computing exact bundle compliance control charts via probability generating functions

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Firm exit during the COVID-19 pandemic : evidence from Japan

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Pricings and hedgings of the perpetual Russian options

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Franchise contracting : the effects of the entrepreneur's timing option and debt financing

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The early exercise premium in American options by using nonparametric regressions

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