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An efficient grid lattice algorithm for pricing American-style options
Liu, Zhongkai; Pang, Tao - In: International journal of financial markets and derivatives 5 (2016) 1, pp. 36-55
Persistent link: https://www.econbiz.de/10011589162
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A stochastic programming model for dynamic portfolio management with financial derivatives
Barro, Diana; Consigli, Giorgio; Varun, Vivek - In: Journal of banking & finance 140 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013463145
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Optimal adaptive sequential calibration of option models
Lindström, Erik; Åkerlindh, Carl - In: Handbook of recent advances in commodity and financial …, (pp. 165-181). 2018
Persistent link: https://www.econbiz.de/10011898632
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An efficient algorithm for options under Merton’s jump-diffusion model on nonuniform grids
Chen, Yingzi; Wang, Wansheng; Xiao, Aiguo - In: Computational economics 53 (2019) 4, pp. 1565-1591
Persistent link: https://www.econbiz.de/10012135577
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Solving penalised American options for jump diffusions using the POST algorithm
Hessing, Jean-Claude; Lange, Rutger-Jan; Ralph, Daniel - 2022
to establish that the POST algorithm either (i) finds the solution or (ii) demonstrates that no solution exists. The … POST algorithm to value American options and compute early-exercise boundaries for Kou's jump-diffusion model [20] and …
Persistent link: https://www.econbiz.de/10012817150
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American Options : Models and Algorithms
Bloch, Daniel Alexandre - 2023
a result, we propose a modified algorithm learning only from the part of the trajectory that precedes stopping times …
Persistent link: https://www.econbiz.de/10014352620
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Dynamic options hedging model under mark-to-market risk
Shi, Dongwei; Li, Yanyin; Yu, Xing - In: International journal of information technology and … 23 (2024) 2, pp. 137-155
Persistent link: https://www.econbiz.de/10015064850
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Upper and lower bounds for convex value functions of derivative contracts
Ben-Ameur, Hatem; Frutos, Javier de; Fakhfakh, Tarek; … - In: Economic modelling 34 (2013), pp. 69-75
Persistent link: https://www.econbiz.de/10010360612
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Robust price bounds for the forward starting straddle
Hobson, David G.; Klimmek, Martin - In: Finance and stochastics 19 (2015) 1, pp. 189-214
Persistent link: https://www.econbiz.de/10011417160
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Active hedging Greeks of an options portfolio integrating churning and minimization of cost of hedging using quadratic & linear programming
Sinha, Pankaj; Gupta, Akshay; Mudgal, Hemant - In: The journal of prediction markets 4 (2010) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10008856708