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The valuation of option contracts subject to counterparty risk

Sturn, Raphael Christian Benedikt - 2019

Persistent link: https://www.econbiz.de/10012173134

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...

Persistent link: https://www.econbiz.de/10012019000

Pricings and hedgings of the perpetual Russian options

Li, Weiping; Chen, Su - In: Journal of financial engineering 1 (2014) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10010508090

The early exercise premium in American options by using nonparametric regressions

Li, Weiping; Chen, Su - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-29

Persistent link: https://www.econbiz.de/10011956935

Randomized stopping times and early exercise for American derivatives in dry markets

Matos, João Amaro de; Lacerda, Ana - In: Journal of mathematical finance 6 (2016) 5, pp. 842-865

Persistent link: https://www.econbiz.de/10011657696

Joint calibration of local volatility models with stochastic interest rates using semimartingale optimal transport

Joseph, Benjamin; Loeper, Grégoire; Obłój, Jan - In: Quantitative finance 24 (2024) 11, pp. 1597-1620

Persistent link: https://www.econbiz.de/10015196948

Local volatility pricing models for long-dated FX derivatives

Deelstra, Griselda; Rayée, Grégory - In: Applied mathematical finance 20 (2013) 3/4, pp. 380-402

Persistent link: https://www.econbiz.de/10010187656

Pricing of long-dated commodity derivatives : do stochastic interest rates matter?

Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - In: Journal of banking & finance 95 (2018), pp. 148-166

Persistent link: https://www.econbiz.de/10011966734

Dynamic derivative strategies with stochastic interest rates and model uncertainty

Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of economic dynamics & control 86 (2018), pp. 49-71

Persistent link: https://www.econbiz.de/10011973854

Pricing of long-dated commodity derivatives with stochastic volatility and stochastic interest rates

Cheng, Benjamin; Nikitopoulos, Christina Sklibosios; … - 2015

Persistent link: https://www.econbiz.de/10011777512