Results 231 to 240 of about 4,384,562 (254)
Some of the next articles are maybe not open access.
Sensitivity analysis of the optimal exercise boundary of the American put option
Georgian Mathematical Journal, 2016Abstract We consider the American put problem in a general one-dimensional diffusion model. The risk-free interest rate is constant, and volatility is assumed to be a function of time and stock price. We use the well-known parabolic obstacle problem and establish the continuity estimate of the optional exercise boundaries of the American
Wasim Ul-Haq, Nasir Rehman
exaly +2 more sources
Deep learning of optimal exercise boundaries for American options
International Journal of Computer MathematicsJeonggyu Huh, Hyun-Gyoon Kim
exaly +2 more sources
An explicit series approximation to the optimal exercise boundary of American put options
Communications in Nonlinear Science and Numerical Simulation, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Shijun Liao, Song-Ping Zhu
exaly +3 more sources
Swing Option Pricing by Optimal Exercise Boundary Estimation
2012This paper introduces an original and competitive Monte Carlo algorithm for the valuation of multiple exercises options known as swing options on energy markets, with the two hypotheses that there is only one source of uncertainty and that the market is complete.
François Turboult, Yassine Youlal
openaire +1 more source
APPROXIMATE SOLUTIONS FOR THE BRITISH PUT OPTION AND ITS OPTIMAL EXERCISE BOUNDARY
The ANZIAM Journal, 2016British put options are financial derivatives with an early exercise feature whereby on payoff, the holder receives the best prediction of the European put payoff under the hypothesis that the true drift of the stock price is equal to a contract drift.
openaire +2 more sources
Analytic approximation of the optimal exercise boundaries for american future options
Journal of Futures Markets, 1994경영공학전공
openaire +1 more source
Chapter 32 - Optimal Exercise Boundary of American Put Option
2023Christian Hafner, Wolfgang Karl Härdle
openaire +1 more source
2007
This paper aims to provide an overview and a comparison performance of parallel and distributed Bermudian-American option pricing. We use two Monte Carlo methods to address this pricing in the case of an increasing number of assets (highdimension). Our work is based on a grid software architecture offering fault tolerance, dynamic and agressive load ...
Dung Doan, Viet +3 more
openaire +1 more source
This paper aims to provide an overview and a comparison performance of parallel and distributed Bermudian-American option pricing. We use two Monte Carlo methods to address this pricing in the case of an increasing number of assets (highdimension). Our work is based on a grid software architecture offering fault tolerance, dynamic and agressive load ...
Dung Doan, Viet +3 more
openaire +1 more source
Approximating Free Exercise Boundaries for American-Style Options Using Simulation and Optimization
Proceedings of the 2004 Winter Simulation Conference, 2004., 2005Barry R. Cobb, John M. Charnes
openaire +2 more sources
Exercise is medicine in oncology: Engaging clinicians to help patients move through cancer
Ca-A Cancer Journal for Clinicians, 2019Catherine M Alfano +2 more
exaly