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An FBSDE Approach to American Option Pricing with an Interacting Particle Method [PDF]
Asia-Pacific Financial Markets, 2012 In the paper, we propose a new calculation scheme for American options in the framework of a forward backward stochastic differential equation (FBSDE).
M. Fujii, Seisho Sato, Akihiko Takahashi
semanticscholar +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
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Convergence Speed of Bermudan, Randomized Bermudan, and Canadian Options
MathematicsAmerican 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
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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
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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
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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
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Financial Option Valuation by Unsupervised Learning with Artificial Neural Networks
Mathematics, 2020 Artificial neural networks (ANNs) have recently also been applied to solve partial differential equations (PDEs). The classical problem of pricing European and American financial options, based on the corresponding PDE formulations, is studied here ...
Beatriz Salvador +2 more
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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
Option Investor Rationality Revisited [PDF]
, 2017 Do option investors rationally exercise their options? Numerous studies report evidence of irrational behavior. In this paper, we pay careful attention to intraday option quotes and reach the opposite conclusion.
Battalio, Robert H. +2 more
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Pediatric Blood &Cancer, EarlyView.ABSTRACT Pediatric gastroenteropancreatic neuroendocrine neoplasms (GEP‐NENs) are extremely rare and clinically heterogeneous. Management has largely been extrapolated from adult practice. This European Standard Clinical Practice Guideline (ESCP), developed by the EXPeRT network in collaboration with adult NEN experts, provides (adult) evidence ...
Michaela Kuhlen +23 more
wiley +1 more source