Similar Search Results

Narrow search

Jump-diffusion processes : volatility smile fitting and numerical methods for option pricing

Andersen, Leif B. G.; Andreasen, Jesper Fredborg - In: Review of derivatives research 4 (2000) 3, pp. 231-262

Persistent link: https://www.econbiz.de/10001596719

Static replication of barrier options : some general results

Andersen, Leif B. G.; Andreasen, Jesper Fredborg; … - In: The journal of computational finance 5 (2002) 4, pp. 1-25

Persistent link: https://www.econbiz.de/10001695829

High-performance American option pricing

Andersen, Leif B. G.; Lake, Mark; Offengenden, Dimitri - In: The journal of computational finance 20 (2016) 1, pp. 39-87

Persistent link: https://www.econbiz.de/10011639531

High Performance American Option Pricing

Andersen, Leif B. G. - 2020

We develop a new high-performance spectral collocation method for the computation of American put and call option prices. The proposed algorithm involves a carefully posed Jacobi-Newton iteration for the optimal exercise boundary, aided by Gauss-Legendre quadrature and Chebyshev polynomial...

Persistent link: https://www.econbiz.de/10012856384

Nonparametric estimation of American options' exercise boundaries and call prices

Broadie, Mark (contributor) - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1829-1857

Persistent link: https://www.econbiz.de/10001508777

Connecting discrete and continuous path-dependent options

Broadie, Mark; Glasserman, Paul; Kou, S. G. - In: Finance and stochastics 3 (1999) 1, pp. 55-82

Persistent link: https://www.econbiz.de/10001367460

Model specification and risk premia : evidence from futures options

Broadie, Mark; Chernov, Mikhail; Johannes, Michael - In: The journal of finance : the journal of the American … 62 (2007) 3, pp. 1453-1490

Persistent link: https://www.econbiz.de/10003477372