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Convergence of numerical methods for valuing path-dependent options using interpolation

Forsyth, Peter; Vetzal, Kenneth R.; Zvan, R. - In: Review of derivatives research 5 (2002) 3, pp. 273-314

Persistent link: https://www.econbiz.de/10001743284

Schnelle numerische Verfahren zur Bewertung von europäischen Optionen in erweiterten Black-Scholes Marktmodellen

Popovici, Stefan Alex - 2002

Persistent link: https://www.econbiz.de/10001691707

On the enhanced convergence of standard lattice methods for option pricing /Martin Widdicks...

Widdicks, Martin; Andricopoulos, Ari D.; Newton, David P.; … - In: The journal of futures markets 22 (2002) 4, pp. 315-338

Persistent link: https://www.econbiz.de/10001678270

Bayesian inference, prior information on volatility, and option pricing : a maximum entropy approach

Venagas-Martínez, Francisco - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10002625103

Derivative securities and difference methods

Zhu, Youlan; Wu, Xiaonan; Chern, I-Liang - 2004

Persistent link: https://www.econbiz.de/10001857156

Lean Trees : a general approach for improving performance of lattice models for option pricing

Baule, Rainer; Wilkens, Marco - In: Review of derivatives research 7 (2004) 1, pp. 53-72

Persistent link: https://www.econbiz.de/10002012150

Numerische Methoden für hochdimensionale parabolische Gleichungen am Beispiel von Optionspreisaufgaben

Reisinger, Christoph - 2004

Persistent link: https://www.econbiz.de/10002734206

Computational methods for option pricing

Achdou, Yves; Pironneau, Olivier - 2005

Persistent link: https://www.econbiz.de/10002705305

Simulation and numerical methods in real options valuation

Cortazar, Gonzalo - In: Real options and investment under uncertainty : …, (pp. 601-620). 2004

Persistent link: https://www.econbiz.de/10002363138

Value Function Approximation or Stopping Time Approximation : A Comparison of Two Recent Numerical Methods for American Option Pricing using Simulation and Regression

Stentoft, Lars - 2012

In Longstaff and Schwartz (2001) a method for American option pricing using simulation and regression is suggested, and since then the method has rapidly gained importance. However, the idea of using regression and simulation for American option pricing was used at least as early as in Carriere...

Persistent link: https://www.econbiz.de/10014212073