Results 261 to 270 of about 7,186,614 (320)
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1999
As in Chapter 7, we suppose there is an underlying probability space (Ω, F, Q). The time parameter t takes values in [0,T]. There is a filtration 𝔽 = {F t } that satisfies the ‘usual conditions’ (see Chapter 6, page 99).
Robert J. Elliott, P. Ekkehard Kopp
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As in Chapter 7, we suppose there is an underlying probability space (Ω, F, Q). The time parameter t takes values in [0,T]. There is a filtration 𝔽 = {F t } that satisfies the ‘usual conditions’ (see Chapter 6, page 99).
Robert J. Elliott, P. Ekkehard Kopp
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International Journal of Applied and Computational Mathematics, 2017
K. Patel, M. Mehra
semanticscholar +1 more source
K. Patel, M. Mehra
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Efficient Analytic Approximation of American Option Values
, 1987G. Barone-Adesi, R. Whaley
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A Note on the Pricing of American Options
Theory of Probability & Its Applications, 2004The author revisits the optimal stopping problem related to the pricing of perpetual American options in discrete time binomial models. He derives a list of properties which the value function must possess and which finally determine it uniquely. The value function and the stopping region are calculated for the continuous state space of all real ...
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American Rainbow Option Pricing Formulae in Uncertain Environment
Bulletin of the Malaysian Mathematical Sciences Society, 2023Rong Gao, Xiaofang
exaly
LSM Algorithm for Pricing American Option Under Heston–Hull–White’s Stochastic Volatility Model
Computational Economics, 2016O. Samimi +3 more
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A fixed point method for the linear complementarity problem arising from american option pricing
, 2016Xianjun Shi, Lei Yang, Zhenghai Huang
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American option pricing problem transformed on finite interval
International Journal of Computational Mathematics, 2016T. Gyulov, R. Valkov
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