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A Monte Carlo approach for the American put under stochastic interest rates

Lindset, Snorre; Lund, Arne-Christian - In: Journal of economic dynamics & control 31 (2007) 4, pp. 1081-1105

Persistent link: https://www.econbiz.de/10003443353

A technique for reducing discretization bias from Monte Carlo simulations : option pricing under stochastic interest rates

Lindset, Snorre; Lund, Arne-Christian - In: The European journal of finance 13 (2007) 5/6, pp. 545-564

Persistent link: https://www.econbiz.de/10003570611

A generalization of the formulas for options on the maximum or the minimum of several assets

Lindset, Snorre - In: The European journal of finance 12 (2006) 8, pp. 717-730

Persistent link: https://www.econbiz.de/10003396191

Pricing American exchange options in a jump-diffusion model

Lindset, Snorre - In: The journal of futures markets 27 (2007) 3, pp. 257-273

Persistent link: https://www.econbiz.de/10003493048

Instantaneous caps and floors on the short rate

Lindset, Snorre - In: Journal of risk 10 (2007/08) 3, pp. 3-14

Persistent link: https://www.econbiz.de/10003698906

A note on a barrier exchange option : the world's simplest option formula?

Lindset, Snorre (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003087823

A Note on a Barrier Exchange Option : The World's Simplest Option Formula?

Lindset, Snorre; Persson, Svein-Arne - 2007

The paper analyzes a barrier exchange option that is knocked out the first time the two underlying assets have identical market values. Under rather general conditions regarding the price processes for the underlying assets, probably the world's simplest option pricing formula is derived. It...

Persistent link: https://www.econbiz.de/10014052223