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New splitting scheme for pricing American options under the Heston model
Safaei, Maryam; Neisy, Abodolsadeh; Nematollahi, Nader - In: Computational economics 52 (2018) 2, pp. 405-420
Persistent link: https://www.econbiz.de/10012052953
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Early exercise premium method for pricing American options under the J-model
Jerbi, Yacin - In: Financial innovation : FIN 2 (2016) 21, pp. 1-26
Background: This study develops a new model called J-am for pricing American options and for determining the related early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined in the study by Jerbi (Quantitative Finance,...
Persistent link: https://www.econbiz.de/10011590292
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Loan growth and bank solvency : evidence from the Pakistani banking sector
Kashif, Muhammad; Iftikhar, Syed Faizan; Iftikhar, Khurram - In: Financial innovation : FIN 2 (2016) 22, pp. 1-13
Background: This study develops a new model called J-am for pricing American options and for determining the related early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined in the study by Jerbi (Quantitative Finance,...
Persistent link: https://www.econbiz.de/10011590309
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Pricing European and American options in the Heston model with accelerated explicit finite differencing methods
O'Sullivan, Conall; O'Sullivan, Stephen - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-35
Persistent link: https://www.econbiz.de/10009756043
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CTMC integral equation method for American options under stochastic local volatility models
Ma, Jingtang; Yang, Wensheng; Cui, Zhenyu - In: Journal of economic dynamics & control 128 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012628259
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Radial basis functions with partition of unity method for American options with stochastic volatility
Mollapourasl, Reza; Fereshtian, Ali; Vanmaele, Michèle - In: Computational economics 53 (2019) 1, pp. 259-287
Persistent link: https://www.econbiz.de/10012134650
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Chapter 5. Computational Methods for Derivatives with Early Exercise Features
Chiarella, Carl; Kang, Boda; Meyer, Gunter; Ziogas, Andrew - In: Handbook of computational economics : volume 3, (pp. 225-275). 2014
jump diffusion and stochastic volatility processes. We consider integral transform methods, the method of lines, operator …
Persistent link: https://www.econbiz.de/10014025717
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Accelerated American Option Pricing with deep neural networks
Anderson, David; Ulrych, Urban - 2021 - This Version: December 2021
-instantaneous using a feed-forward neural network. This neural network is trained over the chosen (e.g., Heston) stochastic volatility …
Persistent link: https://www.econbiz.de/10012800926
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Efficient pricing algorithms for exotic derivatives
Lord, Roger - 2008
Persistent link: https://www.econbiz.de/10003775897
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Optimal investment strategies under stochastic volatility : estimation and applications
Chiarella, Carl; Hsiao, Chih-ying - 2010
Persistent link: https://www.econbiz.de/10008663099