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A new Monte Carlo method for American options
Milʹstejn, Grigorij N.; Reiß, O.; Schoenmakers, John - In: International journal of theoretical and applied finance 7 (2004) 5, pp. 591-614
Persistent link: https://www.econbiz.de/10002171485
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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
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American option valuation methods
Zhao, Jinsha - In: International journal of economics and finance 10 (2018) 5, pp. 1-13
Persistent link: https://www.econbiz.de/10011861003
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Numerical methods for optimization in finance : optimized hedges for options and optimized options for hedging
Lipp, Tobias - 2013
Persistent link: https://www.econbiz.de/10010203082
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Optimal limit methods for computing sensitivities of discontinious integrals including triggerable derivative securities
Chan, Jiun Hong; Joshi, Mark S. - 2012
Persistent link: https://www.econbiz.de/10009553205
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Pricing discrete double barrier options with a numerical method
Rostan, Pierre; Rostan, Alexandra; Racicot, François-Éric - In: The journal of asset management 16 (2015) 4, pp. 243-271
Persistent link: https://www.econbiz.de/10011413369
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Fast and simple method for pricing exotic options using Gauss-Hermite quadrature on a cubic spline interpolation
Luo, Xiaolin; Shevchenko, Pavel V. - In: Journal of financial engineering 1 (2014) 4, pp. 1-31
Persistent link: https://www.econbiz.de/10010508744
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Pricing American options : RNMs-constrained entropic least-squares approach
Yu, Xisheng; Xie, Xiaoke - In: The North American journal of economics and finance : a … 31 (2015), pp. 155-173
Persistent link: https://www.econbiz.de/10011514205
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The valuation of self-funding instalment warrants
Dewynne, Jeff N.; Hassan, Nadima el - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-48
Persistent link: https://www.econbiz.de/10011687010
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Bias reduction for pricing American options by least-squares Monte Carlo
Kan, Kin Hung Felix; Reesor, R. Mark - In: Applied mathematical finance 19 (2012) 3/4, pp. 195-217
Persistent link: https://www.econbiz.de/10009711007