Results 11 to 20 of about 12,937,663 (263)

Pricing American derivatives and interest rates derivatives based on characteristic function of the underlying asset returns [PDF]

, 2003
PhDIn this thesis I introduce a new methodology for pricing American options when the underlying model of the asset price allows for stochastic volatility and/or it has a multi-factor structure.
Wang, Shijun
core   +4 more sources

Analytic Valuation Formula for American Strangle Option in the Mean-Reversion Environment

Mathematics, 2022
This paper investigates the American strangle option in a mean-reversion environment. When the underlying asset follows a mean-reverting lognormal process, an analytic pricing formula for an American strangle option is explicitly provided. To present the
Junkee Jeon, Geonwoo Kim
doaj   +1 more source

American option pricing with stochastic volatility processes

Journal of Hebei University of Science and Technology, 2017
In order to solve the problem of option pricing more perfectly, the option pricing problem with Heston stochastic volatility model is considered. The optimal implementation boundary of American option and the conditions for its early execution are ...
Ping LI, Jianhui LI
doaj   +1 more source

Convergence Speed of Bermudan, Randomized Bermudan, and Canadian Options

Mathematics
American options have long received considerable attention in the literature, with numerous publications dedicated to their pricing. Bermudan and randomized Bermudan options are broadly used to estimate their prices efficiently.
Guillaume Leduc
doaj   +1 more source

Pricing methods for American options [PDF]

, 2003
Bibliography: leaves 89-94.This thesis is about the comparison of Pricing models for the valuation of American Options. Three classes of numerical approaches are considered.
Duvel, Heimo
core   +1 more source

Effect of different basis functions on the LSM pricing of American option

四川大学学报. 自然科学版, 2021
American option allows an option holder to exercise the option at any time before the expiration of option. Thus it is impossible to price it by the B-S formula. Numerical methods are usually applied to price an American option.
YU Tuo, TANG Ya-Yong
doaj  

Approximating the exact value of an American option

Statistica, 2007
An American option is a derivative security that can be exercised at any time before expiration. Under standard hypotheses it can be shown that its arbitrage-free price is the solution of an optimal stopping problem.
Stefano Herzel
doaj   +1 more source

Monte Carlo Simulation of an American Option [PDF]

Journal of Systemics, Cybernetics and Informatics, 2007
We implement gradient estimation techniques for sensitivity analysis of option pricing which can be efficiently employed in Monte Carlo simulation. Using these techniques we can simultaneously obtain an estimate of the option value together with the ...
Gikiri Thuo
doaj  

Adaptive algorithm for solution of early exercise boundary problem of American put option implemented in Mathematica

MATEC Web of Conferences, 2017
The paper is focused on American option pricing problem. Assuming non-dividend paying American put option leads to two disjunctive regions, a continuation one and a stopping one, which are separated by an early exercise boundary.
Lukáš Ladislav
doaj   +1 more source

Real options methodology in public-private partnership projects valuation [PDF]

Ekonomski Anali, 2014
PPP offers numerous benefits to both public and private partners in delivery of infrastructure projects. However this partnership also involves great risks which have to be adequately managed and mitigated.
Rakić Biljana, Rađenović Tamara
doaj   +1 more source